Let f be a function differentiable on $(a,b)$ and continuous on $c\in(a,b)$. If $c+h \in (a,b)$ then by the mean value theorem $\frac{f(c+h)-f(c)}{h}=f'(c+\theta h)$ for $\theta \in [0,1]$. Let $h \xrightarrow{}0$, then $f'(c+\theta h) \xrightarrow{} f'(c)$ by the above.
My reasoning is the following: $\theta$ is a function of $h$, so in fact it is not true that that $\theta(h_n)h_n$ represents any arbitrary sequence that tends to 0, so using this definition of limits(the sequence definition), what we have does not follow. EDIT: I am aware of the explicit counterexample $x^2sin(1/x)$ but that doesn't capture the full meat of the question.
It is not true that $\theta$ need be a function of $h,$ because it may not be uniquely specified. There could be many $\theta$'s that work for a given $h.$
We only know $f'(y)\to f'(c)$ as $y\to c$ within the set of $y=x+\theta h$ that arise in the MVT process you described. But the set of such $y$ may not equal any deleted neighborhood of $c,$ as the example $x^2\sin(1/x)$ shows.