I find the Exile series easier to play in singleton mode once I have a few levels under my belt.
As to doing that with Nethergate, I reckon it'd be a great challenge, especially for Celts who are going to have to be really careful balncing magical and combat skill development within a single character rather than a party of four. Try it and let us know how it goes, eh?
One thing, though - do you refuse NPC allies joining the party, as this will make the Faery Castle mission tough for the Romans and the Western Formian mission impossible for the Celts?