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Is it immoral to lewd something that doesn't exist?
It's a pokemon. Unless you want to cope with the reality that pokemon aren't real by buying and using plushies, which are also not the real deal (a pokemon in a pokemon game is alive, it has magic powers and whatever else, a plushie is just a piece of cloth that's soft and nice to hug but it is also life-less). You can do whatever you want to something that doesn't exist, who's going to stop you, avid fans? Tell them the reality of it and watch their anger in response to your desires.
Why would things that aren't real and won't be real ever fall for any moral definition?
They're pixels, polygons, data, colors, models, textures and just digital programs, not physical or material. They don't have true morals, only what is coded within them, you can do ANYTHING you want with them, from your most wicked thoughts to your dearest wishes, you can do anything lewd to a pokemon. Let people call you furry, it won't change a thing.