If only on the practical side, I learned in home ec, oh those many years ago, not to use polyester or nylon yarn when sewing cotton fabric... I was told keep like to like.. If the fabric was cotton, the thread should be cotton as well.. Or at least the cotton-covered polyester thread that was available then. The clincher being that the artificial fibers were stronger than the natural fiber, and could tend to actually cut the cotton fabric if stress were placed on the stitches.. So I would be afraid of the same thing happening with nylon thread used to sew up my wool knitting.
Knitting with some of the novelty yarns might work just fine..
And if this is totally a fantasy topic, we could breed invisible sheep, and surely THEIR wool would be able to sew up any of our wool knitting!!