It's unclear when the most recent episode of The Shop was taped, so James' choices among the remaining teams were likely limited to two or four. In the event it was taped ahead of the NBA Finals, odds are James didn't want to alienate Lakers nation by saying he'd want to play for the rival Celtics.
Either way, it's clear there's at least part of LeBron that's intrigued by the idea of playing alongside Curry and trading competitive barbs with Green. It's ultimately a pipe dream given the cap constraints and unprecedented fallout that would occur.