Monday night's 1-0 defeat at the Etihad, courtesy of Vincent Kompany's header, left the Red Devils second behind City, level on points but eight goals back from their rivals.
Neville told Sky Sports: "I know - I've been in that changing room for 20 years - it's his worst nightmare.
"Losing a championship on goal difference is what he always talks about, every single season.
"In January, in February, in March, whatever month it is going for a championship, he will say if you're 1-0, 2-0 up, 'score three, score four'.
"You never know whether it's going to get to goal difference.
"It is his worst nightmare."