It's clear to me that this limit does not exist, because you can go to zero using the identity line and you get $1$, but if you go to zero in direction getting close to the imaginary line then you get $0$.
How can i formalize that idea, especially going to zero from the identity line?

You could write it as $$ \lim_{r\rightarrow 0} \frac{\mathrm{Re}(re^{i\theta})}{\mathrm{Im}(re^{i\theta})} $$ in which $\theta$ specifies the direction you approach 0.
This particular limit is equal to $\cot \theta$, and is indeed equal to 1 on the identity line $\theta = \pi/4,-3\pi/4$.