You can, but you'll get a different answer than you would using parallel transport. (And those two possibilities are not the only ones: in general there are an infinite number of possible ways to transport vectors/tensors between points in a curved manifold.) So the question is, which answer is the one you want to use? And the answer to that question depends on what physical problem you are trying to solve.
The physical problem for which "parallel transport" is the right answer is the problem: which curves are geodesics? The answer to that is, they are curves that parallel transport their tangent vectors along themselves. And that turns out to be the "right" answer because those curves turn out to be the ones that describe the worldlines of freely falling objects, i.e., weightless objects, feeling no acceleration. Since objects moving solely under the influence of "gravity" are weightless, these weightless, freely falling worldlines are the ones that tell us about the geometry of spacetime, so GR gives them a special status and uses parallel transport for that reason.
However, there are other physical problems for which "Lie derivative" is the right answer. Here's one: suppose I have an observer "hovering" at a fixed altitude above a large gravitating body like a planet or star (and not in orbit, his angular coordinates are also fixed, so he is firing a rocket or otherwise under acceleration). This person wants to keep a telescope oriented directly radially outward, i.e., in the opposite direction from the planet/star. How will the spacelike vector that describes the direction the telescope is pointing be transported along the observer's worldline? The answer is, using the Lie derivative (the more usual name for this in GR is "Fermi-Walker transport").
In your GR class they probably were only considering the former type of problem, not the latter, which is why they gave "parallel transport" as the answer. But it's good to be aware that there are other problems you will eventually encounter where other types of transport are relevant.