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If Voldemort made Nagini a Horcrux some time after Wormtail returned to him between PoA and GoF, when he killed Bertha Jorkins, why wasn't there some indication of this when Voldemort's wand was regurgitating the last spells it cast?
Like, why didn't a "shadow" of Nagini emerge, or a shadow of the soul-fragment that Voldemort put in her?
There are a number of different possibilities for why Nagini didn't appear in the Priori Incantatem.
Voldemort could've used a different wand to make the Horcrux. Voldemort may have been using Wormtail's wand during this period and could've used it to turn Nagini into a Horcrux. However, we know that Voldemort used his own wand to murder Frank Bryce and that Wormtail used the same wand to murder Cedric Diggory (since both figures appear in the Priori Incantatem). Voldemort also tortures Wormtail in a dream that Harry has just before the Third Task; it would be logical if Voldemort was also using his own wand for that. Logically, if Voldemort created the Nagini-Horcrux during this time period then he would probably have used his own wand.
Priori Incantatem may not show Horcruxes. From Dumbledore's explanation of Priori Incantatem we know that it recreates spells, not only deaths.
“So what happens when a wand meets its brother?” said Sirius.
“They will not work properly against each other,” said Dumbledore. “If, however, the owners of the wands force the wands to do battle...a very rare effect will take place. One of the wands will force the other to regurgitate spells it has performed - in reverse. The most recent first...and then those which preceded it."
(Goblet of Fire, Chapter 36, The Parting of the Ways).
I disagree with Vishvesh that Nagini didn't appear because she was still alive. If Priori Incantatem only shows corpses then Wormtail's hand wouldn't have appeared. Priori Incantatem recreates a shadow of the previous spells. It's possible, though in my view unlikely, that the Horcrux spell may be so Dark or so complex that it doesn't register in PI.
Voldemort hadn't created the Horcrux yet. This is by far the most obvious and most likely explanation, in my view. Voldemort didn't even have a body during the time period in question. It's unlikely that he'd be up to the complex magic involved in creating Horcruxes. He was also highly dependent on Wormtail at this time and we know that his Horcruxes are his most closely guarded secret. He didn't even tell the Death Eaters that he entrusted with Horcruxes (Lucius Malfoy and Bellatrix Lestrange) what they were when he did so. It's likely that he would've wanted to regain his independence before trying to make new Horcruxes. This is perfectly in keeping with the suppositions of Dumbledore, which are the only real canon statement we have on the matter.
After an interval of some years, however, he used Nagini to kill an old Muggle man, and it might then have occurred to him to turn her into his last Horcrux
(Half-Blood Prince, Chapter 23, Horcruxes).
Note that Dumbledore thinks that Frank Bryce's murder might have planted the idea of using Nagini as a Horcrux in Voldemort's mind. He doesn't say that he turned her into a Horcrux there and then.
So, on the balance of probabilities, Nagini didn't appear in Priori Incantatem because she wasn't a Horcrux at that point.
Nagini is not dead. She is a living creature.
“I don’t think so,” said Dumbledore. “I think I know what the sixth Horcrux is. I wonder what you will say when I confess that I have been curious for a while about the behavior of the snake, Nagini?”
“The snake?” said Harry, startled. “You can use animals as Horcruxes?”
“Well, it is inadvisable to do so,” said Dumbledore, “because to confide a part of your soul to something that can think and move for itself is obviously a very risky business. However, if my calculations are correct, Voldemort was still at least one Horcrux short of his goal of six when he entered your parents’ house with the intention of killing you. He seems to have reserved the process of making Horcruxes for particularly significant deaths. You would certainly have been that. He believed that in killing you, he was destroying the danger the prophecy had outlined. He believed he was making himself invincible. I am sure that he was intending to make his final Horcrux with your death. As we know, he failed. After an interval of some years, however, he used Nagini to kill an old Muggle man, and it might then have occurred to him to turn her into his last Horcrux.”
Harry Potter and the Half-Blood Prince, Chapter 23, Horcruxes
Voldemort did not create Nagini with his wand, Nagini was alive when she first met Voldemort. So Prior Incantatem will not show her shadow. The hand was created with his wand, thats the reason it appears.
“Harry’s wand and Voldemorts wand share cores. Each of them contains a feather from the tail of the same phoenix. This phoenix, in fact,” he added, and he pointed at the scarlet-and-gold bird, perching peacefully on Harry’s knee.
“My wand’s feather came from Fawkes?” Harry said, amazed.
“Yes,” said Dumbledore. “Mr. Ollivander wrote to tell me you had bought the second wand, the moment you left his shop four years ago.”
“So what happens when a wand meets its brother?” said Sirius.
“They will not work properly against each other,” said Dumbledore. “If, however, the owners of the wands force the wands to do battle... a very rare effect will take place. One of the wands will force the other to regurgitate spells it has performed - in reverse. The most recent first... and then those which preceded it...”
Harry Potter and the Goblet of Fire, Chapter 36, The Parting of the Ways
