I was on the internet trying to find Martagon seeds for sale. I came across an old AD for seeds for the Nepalense Lily. By the information posted it was not crosses with anything else. I thought you could not cross most lilies with themself. (Same plant) I was just wondering, If you had two plants, could it be possible to use the pollen from the other to create seed?

My understanding is yes, if they are indeed different plants. For example, if you had two seed grown L. nepalense, they should be compatible as they are not exactly genetically alike. However, if you scaled or otherwise vegetatively propagated from one bulb, those would be genetically identical and incompatible.

If you acquired two plants, you probably don't know if they are genetically identical so it surely wouldn't hurt to try.

Also (a reminder here) remember to not try to set too many pods on one plant as it will deplete the bulb.

Pard is right. And vegetative reproduction also includes:
bulbils (the little bulbs on stems above ground)
stem bulblets below soil surface
natural division of bulbs
scaling (as Pard mentioned)
tissue culture

Basically, vegetative production is anything that does not involve true seed, and even that definition has rare exceptions.

To muddy the water a bit, nature rarely has absolutely unbroken rules. So it is here. There are a few Lilium species, like Lilium formosanum and Lilium philippinense, that are self fertile and will produce seed all by itself.