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At the end of the Guardians of the Galaxy Holiday Special, Nebula exchanges gifts. Her gift for Rocket is Bucky Barnes’ vibranium arm.

While Nebula didn't make her first on-screen appearance on Earth until Avengers: Endgame, there is a five-year gap during The Blip to consider. Bucky was taken away at this time, therefore she couldn't have done this deed until the Winter Soldier returned.

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As "explained" here:

Guardians director James Gunn hopped on Twitter to answer the perplexing question.

"I'm so sorry, but it already happened," Gunn wrote in response to a now-deleted tweet from another user. "Nebula thinks of Bucky as wet crepe paper. That said, she couldn't help tearing off the arm because she was just feeling so freaking Christmasy! PS No one forced me to include alien cyborgs."

There you have it. Nebula simply wrestled the arm off Bucky in the name of Christmas.

Alternatively, read this or watch this or read this etc.

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