just been reading an article on removing <li>
elements from wp_nav_menu (http://css-tricks.com/snippets/wordpress/remove-li-elements-from-output-of-wp_nav_menu/) and the code suggested is
$menuParameters = array(
'container' => false,
'echo' => false,
'items_wrap' => '%3$s',
'depth' => 0,
);
echo strip_tags(wp_nav_menu( $menuParameters ), '<a>' );
have you tried this ?