I took a very long time to understand this! I want to share my understanding.
Say Alice's sequence converges to some rational X. You enumerated all the rationals, and X has index N. But Bob played X in turn N, because X was a legal move in turn N (in every turn even). And in turn N+1, Bob must play something smaller than X. So Alice's sequence cannot converge to X.
Say Alice's sequence converges to some rational X. You enumerated all the rationals, and X has index N. But Bob played X in turn N, because X was a legal move in turn N (in every turn even). And in turn N+1, Bob must play something smaller than X. So Alice's sequence cannot converge to X.