If you download Stencyl fairly recently, you may have gotten a version that has an issue installing Neko. can you compile for any other platform at all? If so, that's no the issue. But if that is the issue, download b10470 or later (the current subscriber's build) and try again.
Did you open Xcode through Stencyl, using Tools > External IDE > Launch Xcode? If not, please open Xcode in this way because it allows it to use the same build environment that Stencyl does. Then, to build in Xcode, select the default target (it should be the name of your app), not "Build Haxe". However, don't delete "Build Haxe" either. That's a workaround that you don't need if you open Xcode through Stencyl.