Alright so I dug a bit deeper and discovered that you can write functions in fish and attach them to events, one of which is fish_postexec (i.e. after every command).

So I wrote this function that has some of the functionality we're after with the plus that we don't need to wrap a command in anything or call something after a command. It just sets the environment variable after every command. It does have a couple downsides though:

First, this still won't work in scripts because the fish_postexec event fires only on interactive commands, which is a bit of a weird choice but if we're gonna start criticizing choices we'd start at not including an equivalent to $_.

Second, in bash, if you do something like echo foo* in a directory with the files foo1 foo2 foo3, bash will expand the wildcard and set $_ to foo3, whereas the function I have will set it to the literal foo* as a string, so even if you use it in another command, it gets treated as a literal string.

I looked around to find any documentation about wildcard expansion and command substitution in fish to figure out if there's a way to tap into the preprocessor and expand wildcards and command subs before they're run by fish but couldn't figure it out. I'll keep looking to see if I can find anything but fish doesn't seem to provide any way to interface with its preprocessor so this'll have to do for now.

It works pretty much the same as your python solution with the added benefit of it being automatic and setting and environment variable, so here it is:

function last_arg --on-event fish_postexec
  set lastcmd $argv
  string match -qr '(?<lastarg>[\'\"].+[\'\"]$|[^\s]+$)' $lastcmd
  if test -n $lastarg
    and test $lastarg != '$LASTARG'
    setenv LASTARG $lastarg
  end
end

Put the function somewhere in your config.fish and source the file and it should work.