$
\newcommand{\A}{\mathscr A}
\newcommand{\B}{\mathscr B}
\newcommand{\F}{\mathscr F}
\newcommand{\G}{\mathscr G}
\newcommand{\V}{\mathscr V}
\newcommand{\I}{\mathscr I}
\newcommand{\D}{\mathscr D}
$In order to better discuss this problem it is useful to have the precise categorical definition of a natural transformation in mind.
So, suppose that $\A$ and $\B$ are categories, and that $\F$ and $\G$ are functors from $\A$ to $\B$.
Definition. A natural transformation from $\F$ to $\G$ is a correspondence that, to each object $X$ in $\A$,
assigns a morphism
$$
\Phi_X: \F(X)\to \G(X),
$$
satisfying the following crucial property: if $X$ and $Y$ are objects in $\A$, and if $f\in \text{Hom}(X, Y)$, then the
diagram
$\require{AMScd}$
\begin{CD}
\mathscr{F}(X) @>{\Phi_X}>> \mathscr{G}(X)\\
@V\mathscr{F}(f)VV @VV\mathscr{G}(f)V\\
\mathscr{F}(Y) @>{\Phi_Y}>> \mathscr{G}(Y)
\end{CD}
commutes.
This is, of course, presuming that both $\F$ and $\G$ are covariant functors. If, on the other hand, both $\F$ and $\G$
are contravariant then the above diagram must be replaced by
\begin{CD}
\mathscr{F}(X) @>{\Phi_X}>> \mathscr{G}(X)\\
@A\mathscr{F}(f)AA @AA\mathscr{G}(f)A\\
\mathscr{F}(Y) @>{\Phi_Y}>> \mathscr{G}(Y)
\end{CD}
The question as to whether there is a natural isomorphism from a vector space to its dual, if phrased in the context
of category theory, should therefore be:
Question. Considering the category $\V$ of vector spaces over a given field, is there a natural transformation $\Phi$
from the identity functor
$$
\I: \V\to \V,
$$
to the dual functor
$$
\D: \V\to \V,
$$
namely the functor sending a vector space to its dual, and such that $\Phi_X:X\to X^*$ is an isomorphism for every vector
space $X$?
The first major difficulty one encounters is that the identity functor $\I$ is covariant, while $\D$ is contravariant, so one
should first attempt to adapt the notion of a natural transformation for this situation. Although this will soon be
understood to be a somewhat
foolish pursuit, in the general case where our functor $\F$ above is covariant and $\G$, contravariant, we could ask
for the commutativity of the diagram
\begin{CD}
\mathscr{F}(X) @>{\Phi_X}>> \mathscr{G}(X)\\
@V\mathscr{F}(f)VV @AA\mathscr{G}(f)A\\
\mathscr{F}(Y) @>{\Phi_Y}>> \mathscr{G}(Y)
\end{CD}
Applying this to the functors $\I$ and $\D$, we would be asking for an a priori choice of isomorphism
$$
\Phi_X:X\to X^*,
$$
for every vector space $X$, such that
\begin{CD}
X @>{\Phi_X}>> X^*\\
@VTVV @AAT^*A\\
Y @>{\Phi_Y}>> Y^*
\end{CD}
commutes for every linear map $T$ from $X$ to $Y$.
However this is impossible for many reasons, e.g. we may apply it twice, once for $T$ and another time for $2T$,
leading up to
$$
\Phi_X = T^*\Phi_YT = (2T)^*\Phi_Y(2T) = 4 T^*\Phi_YT = 4\Phi_X.
$$
Of course this cannot hold!