The most common and most likely answer to this crossword clue is the 3 plus 2 plus 4 plus 5 letter word NOT ON YOUR NELLY
I've seen this crossword clue in Independent
N
O
T
O
N
Y
O
U
R
N
E
L
L
Y
Buddy explains!
The straight part
We know that "Never" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case never = not on your nelly.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.