Lichtenstein had fairly close ties to Switzerland, they were poor, they had little landmass, and just generally did not have anything Germany wanted to seize or get out of the way. Invading would have upset Switzerland, which would have been inconvenient.

Had the war in Europe proceeded to such a point that Nazi Germany no longer had the Soviet Union or England to contest, they would have continued snapping up the remaining nations that they had not yet gotten around to. Switzerland particularly would have been near the top of the list since they had a tendency to intercept and destroy German planes in their airspace when they could. (Which infuriated Hitler, hearing of German pilots shot down by German fighters) Lichtenstein would most likely have been taken during a theoretical Swiss campaign.