>>32189264There are two possible reasons why she didn't. First is how her mother treated Pokemon left her scarred. Bringing in Pokemon, keeping them confined, experimenting on them and freezing them alive. A kid not even 10 year old being exposed to this isn't exactly going to be ecstatic about the idea of confining a Pokemon in a Ball. That's the same reason she didn't like Pokemon battles. She's seen enough Pokemon being hurt.
The second reason could be that Nebby didn't want to be caught, or for whatever reason, it simply wasn't possible. Lusamine also hadn't caught Nebby. Keeping it stored would be easier in a Ball, but considering Lusamine didn't, it's likely it wasn't possible. Might have to do with Nebby being an Ultra Beast, or maybe just always breaking free of Balls. Whatever the reason, it's likely that catching Nebby simply wasn't possible. Even if it was possible, if Nebby didn't want to be caught, Lillie wouldn't catch Nebby. She didn't want to force Nebby into anything.
So either or both of these reasons.