If you are new to war games or Malifaux go with Lucius. He can be good in some pools. The thing he does no other model can do is put out the interact while engaged aura. You can easily get Search the Ruins last turn.
Nellie is a top tier competitive model and probably the best Guild master. She can do so much. Propaganda, Hot off the presses, Delegation, activation control, card draw, move models around. Great in most pools.
I’m a fan of both and played a lot of Lucius, Nellie is superior but I’d start off with Lucius first.