depending upon the clearences involved you could put a ranger-band around the nalgene bottle and slip the cup over the ranger-band. This arrangement (when clearneces are tight enough but not too tight) works like an 0-ring seal and the cup will be held in place by the friction with the ranger-band.

Another alternative would be to stick some of the selfe adhesive velcro to the nalgene and use a strap around the bottom of the cup to hold it in-place. This might be a rather long strap of velcro so it might become unweildly.

Why the resistance to a simple light bag with strap around the outside of the cup-nalgene combination? These type of bags often come with other useful pockets on the outside for holding the P.A. tablets and a spork and maybe even the esbit cooker. The combination allows you to sling your water bottle over your shoulder and be carrying an entire kitchen complete with stove, pot, water carrier and purification, and fuel)