It may be that Selena Gomez doesn't much like having any nickname for Selena Marie Gomez is her proper birth name. This has been shortened to Sell and Selly at times, as you might expect. She was named after the late singer Selena Quintanilla-Perez.
However, apparently a past date, Nick Jonas, nicknamed Selena 'Conchita' It doesn't seem to be a nickname that has stuck, otherwise you wouldn't be needing to ask this question! I dare say it was a reference to her parentage. Selena's father is Mexican and her mother is part or fully Italian. Hence her very dark eyes and lustrous looks.
Selena Gomez has quite a lot of nicknames, she is mostly called by these nicknames: Sel, Selly, Conchita and Selenita. Sel is the first three letters of her name, it is the name that her bandmates call her. She once got a henna tatto which splet her nickname "Sel" on her shoulder.
The nickname "Selly" is believed to be derived from her name. She is also called "Selenita" which means "little Selena". Being half Mexican, this is meant to show respect for her culture.