Do you think it is wrong if I don't buy my infant nephew a Christmas gift?
Why don't you want to buy your infant nephew a Christmas gift?
I think my nephew is too annoying, I don't want to do that.
I think infants usually are annoying by nature so I think you are being a bit too stubborn but it's your money, your call. Others should respect your decision even though you will likely get some frowns and looks of disapproval. Just tell your girlfriend your reason and see what happens.
I have to buy it, I don't have a choice.
Yes, you are making the right choice here. I'm happy that you've realized that you needed to do this.