There will most certainly never be official Cave Story plushies. Even fan made plushies are few and far between. Not even bootleggers have made Cave Story merch.
The reason Cave Story has such a small amount of merchandise made of it is because it's extremely niche.
Other indie games like Undertale have plushies and other merchandise because they've become mainstream. I'm not saying that because I hate Undertale. I actually love Undertale
Cave Story may be regarded as the god father of indie games by some people, but unless you spend a lot of time in the Cave Story fandom, you won't hear many people acknowledging it's existence.
It's a shame, but at least we have a fandom making content. Oh wait, most Cave Story fan projects end up getting abandoned/cancelled. FUCK.