Well the MC could porcupine up. Looks like Nico needs to touch what she teleports and if we're lethal to the touch or stick to her to the point that she cant get rid of us it might not matter. Also they never really fully explain how resilient a given superhuman is. We can regenerate from just about any injury but lets say we take out a level 3s arm, leg, eyes whatever would they get it back? If not then suddenly attrition goes massively in our favor. Maybe thats why superhumans like Alice, Alexis, or Clark have such heavy defenses because the second their body is breached they go on a clock. If what Alexis said to Jake is true and her blood's iron is what lets her form and proliferate the blades then an attrition approach that we excel at would be a real problem for her.
Which is why I said in my post, when it comes to Alexis, we just have to outlast her to beat her. Her power can be countered by the MC being able to regenerate and potentially having her attacks not landing at all. It's why she had a hard time against Ella in there first fight and had to use a serum. She still has the skills and stat advantage for now but stamina(for her iron ability) and actually landing hits could be an issue.
As for the Nico thing, we don't know the full extent of her teleportation ability. She could only need a certain amount of area to teleport other people with or away from her. Remember, she transported the Doctor without even being in the area before Klaus and Danica realized it. Also their corpses disappeared in front of Alice and Michael too apparently. She could potentially teleport the MC and dump him somewhere without getting too close or being near him at all.
Also can't forget that Nico is favored and highly valued by Hero. There's no telling how many safety measures they gave her. I'm not denying what you said though. We have options but they seem like they might not have a high success rate. I guess we'll have to learn more about her ability first and what limitations she might have.
I hope we don't kill her though. I'm already sweating with this Danica stuff. I'm that desperate for Superhuman Waifus that turn away from the light and enter my darkness(my superhero name in game). As great as Ella and Alice is, it's not enough. I need to continue building my monster girl harem full of women that can kill me! I still simp for Danica(rip?) and Alexis to this day.