I have been looking for the very same thing. The little wool Waldorf figures look like they would make a nice nativity but I really have no idea how to make one. Perhaps something in felt might work. The sewing would be minimal enough to do by hand. Do you think It might be possible to adapt a simple colouring pattern? I'll keep looking and post here if I find anything suitable.
I think the Kathe Kruse/Waldorf style nativity dolls are needle felted. They are really adorable. Try asking about needle felting dolls on the dolls and toys board and the yarn crafts board. I know I've seen threads there about making fairies, and I think you could make some really beautiful figures.