It really depends on how you're going to change Pokemon to make it like Cave Story. If you're going to replace all 151 Pokemon with things from Cave Story, there's really not enough things in Cave Story to cover all of those. If you want to just take a Pokemon game and edit it so that it goes through the story of Cave Story as if Quote was a Pokemon trainer or something, then I guess that could be interesting, although it would be kinda tough for you to find people to battle with. Maybe the critters started a group like Team Rocket or something. I think that would be interesting, although I haven't played any Pokemon ROM hacks myself, so I'm not sure how well that would work, nor have I made a ROM hack before so I don't know how hard it would be to accomplish.
It sounds like a good idea on paper, but just like Thatnamelessguy said, not enough things in cave story to cover, changing the story might work, but not enough pokemon. But what about a cave story mod that had to do with pokemon? Hmmm... that MIGHT be able to work.