Eh, Lillie having Nebby in the games made sense because she was the protagonist. A weak, timid girl who needed to be protected and through her interactions with the player and her friends, grew into a stronger person, symbolized by the changing of her clothes. Nebby was a parallel of Lillie's character. A weak baby that had no way of defending itself until it became Cosmoem and then Solgaleo or Lunala.
The player? A blank, soulless automaton with no known personality except for what the other characters say they about them (because why show when you can tell?). Given how much people complain about how they never emote, I can't realistically see the player having a believable bond with Nebby.
Ash, on the other hand, is the protagonist of the anime. He's a character with an actual personality, with hopes and dreams, and he's shown to care for his friends, be they human or Pokemon. And given how Lillie's story was already changed, Nebby wouldn't really fit in with it much.
