Eh...Nero is actually quite interesting in wider Fate lore. Her Noble Phantasm is something very similar to, but not quite exactly like, a Reality Marble, which her class shouldn't be able to utilize.
- There are seven "main" Servant classes (and a whole bunch of others that show up in other works, and there's some hints that the main seven were never set in stone in the first place), split into three "knight" classes (Saber, Archer, Lancer) that are supposed to be all about fighting ability, three "cavalry" classes (Rider, Caster, Assassin) that are supposed to be more about trickery or specialized skills, and Berserker, which is a warrior driven mad by a special skill, sacrificing higher cognitive functions and the ability to use skills for raw power.
- Reality Marbles are a type of extremely rare and specialized magecraft that very few beings in the Nasuverse can access, because they're essentially an imposition of a fundamentally different view of the world onto reality, and thus require the user to both have a perspective that's detailed enough to comprise a fully realized alternate world that's incompatible with reality and yet be lucid enough and skilled enough in magecraft to turn it into a Reality Marble. Of the two characters in Fate media famous for using one, one of them (Iskandar) gained his after he turned into a Heroic Spirit as an expression of his legend, and the other (Emiya Shirou) was psychologically damaged and then magically altered to have the concept of "swords" permanently grafted onto him.
- Knight classes, being about direct confrontation, shouldn't normally be able to use Reality Marbles, and Nero doesn't have the excuse EMIYA has of being based on a person who could use one in life. This has led to some speculation that is only now starting to pay off in Fate/Grand Order, as things start to get revealed about Nero's true nature.
It's a common misinterpretation of official statements to claim that it requires a specifically disjointed mentality to produce a Reality Marble. Specifically, an incompatible mentality is the basis of how demons create Reality Marbles. Other beings (such as human magi) are not dependent on that to make one - it's just a very advanced magecraft that most traditional magi wouldn't waste their time focusing on because it's inherent to oneself, so one can't pass it down to a descendant.
Getting into the deeper details on how Reality Marbles work involves delving a bit into the metaphor behind the very name "Reality Marble", and the associated concept of "Marble Phantasm".
There's nothing explicitly saying that a Knight-class Servant couldn't have a Reality Marble... but as it's such an advanced spell, a Servant with a Reality Marble is likely to be a Caster.
But yeah, there has been hintings of lore for a while that there is something weird about the fact that Nero manifests as a Saber. In fact, it's suggested that she's been making use of Imperial Privilege to access the Saber class specifically to avoid being summoned into a class that is more natural to her.