Honestly, despite being a major first party with a lot of quality output over four generations Sega doesn't have a lot of series that have sold amazingly, at least according to Wikipedia:
https://en.wikipedia.org/wiki/List_of_best-selling_video_game_franchises. I don't see Nintendo going through the headache of negotiating character rights for someone as niche as, say, Nights, unfortunately. The only currently Sega-owned franchises tracked here are Sonic (which leads the next franchise by over 100 million!), MegaTen, Yakuza, and Football Manager. This list doesn't take into account the great success Sega has had with arcades, so I think it's safe to add mega hits like Virtua Fighter, Outrun and Daytona USA as significant as well.
Of all of those the only viable characters I can think of are Sonic Character #2, Jack Frost or something else that represents the whole of the Megami Tensei series, or Akira from Virtua Fighter (though I'm not sure we need another third party fighting game character wearing a gi right now). Public support might also make them consider Bayonetta, I suppose, though personally I have my doubts.
(also my distaste for the prospect of Shadow being added has less to do with his clone potential and more to do with him being quite possibly the worst character in all of video games)