It could possibly mean that, she is on his list of women he would never: date, be romantically involved with or have sex with. It's hard to tell without watching it myself!

it must be something romantic... I listened it in a sitcom. He says to his ex-girlfriend, " you are in my Never List" while he is talking about other women, and later, she says to him the same.

Hi Jorge, could you give the context where you heard it? I have an idea, but need some more information.