Suppose that for each natural $k$, we have a sequence of real numbers $a_{n,k}$, and that $\lim_{n \to \infty} a_{n,k}=\alpha \in \mathbb{R}$ is independent of $k$.
Suppose furthermore that $\lim_{n \to \infty} a_{n,n}=\alpha $ as well.
Is it true that $\lim_{n \to \infty} a_{n,f(n)}=\alpha$, for any monotonic increasing function $f:\mathbb{N} \to \mathbb{N}$?
$$a_{n,k}= \frac{k}{n^2}$$
fixing n would definitely give you a divergent sequence while your conditions are satisfied for this double sequence.