Why didn't Natalie realise Leonard killed her boyfriend?

From the first time I watched the movie it was absolutely clear to me that Natalie DID realize that Leonard is Jimmy's killer. It would be blatantly stupid to assume that a walking time bomb who is known to have killed several people and that shows up in Jimmy's car and even in his suit (!) would have nothing to do with its dead - highly improbable, especially for a person as clever as Natalie. But as Natalie (like everybody else) knows about him and his condition she cannot blame him for it - still she DOES get angry at him ("Now I'm gonna use you, you sad freak!"). But killing Leonard would be as pointless as destroying a gun to take revenge for a murder. Natalie knows that Leonard is only a toy for whoever uses him and decides rather to go for the one who she knows is behind all this - Teddy.

Really I believe that in the movie Natalie is the only one who fully understands Leonards condition and she knows masterfully how to manipulate him. In every moment she's acting extremely clever, manipulative and cold-blooded. Teddy is trying to manipulate Leonard, too, but if he ever knew he now has lost control - probably because after years of trying to improve Lennys condition (and getting its own fair share of profit out of it) he got tired and careless. Why else would he tell him the truth (which I believe it is) that he is really Sammy, knowing that this is the last thing that Leonard wants to hear.

BTW I believe that Teddy is still a real cop (a snitch, as he said) who was on an undercover mission concerning Jimmy. He managed to win his trust, maybe offering Leonards proven expertise as a killer without memory as an entrance ticket (Jimmy and Natalie seem to know all to well about it). His resolution to kill Jimmy, making it look like a dispute between rivalling drug dealers and by doing this pulling off 200 000 Dollar even worked but backfired in the end because he underestimated the madness and determination of Leonard, the monster that he himself had helped to create.

When Natalie first meets Leonard, she does not even know that Jimmy is missing. Actually she mistakes Leonard for him and when she realizes that someone else is wearing her boyfriend's clothes and has his car, she knows something is not quite right.

When Leonard enters Natalie's bar, she takes "revenge" on him by serving him the spit cup. She then realizes that his condition is real. That's probably the reason she doesn't really suspect him of murdering her boyfriend. How could someone who can't even remember the last ten minutes kill a tough guy like Jimmy?

And even Leonard was involved, can he really be held responsible with his inability?

Jimmy was a drug dealer and as we find out later he owed some bad people money. Natalie knows that and she doesn't really know what exactly happened to him.

However from the start she never really trusts Leonard or really befriends him, she mostly just uses him for her own selfish reasons. Only in the end she is a little bit more sympathetic after he helped her get rid of her "problem".

So in conclusion I think the main reason for not Natalie not suspecting Leonard is his condition. And even if she did suspect him, for her there is not much point in revenge or going to the police. She is a very pragmatic person and rather uses him for her own advantage than caring about "justice".

I had to watch the movie several times and I also wondered why Natalie didn't realize that Leonard killed Jimmy. The answer is that she DID realize.

Watch the scene where she undresses him. It's impossible she saw all the tattoos with "kill him" and all the facts (John or Jimmy G, white male, drug dealer etc) and not figure it all out. But I guess she really was very pragmatic and thought that Leonard is way more controllable than Jimmy was. And Leonard is also good at getting rid of dangers like Dodd, so why not use him some more? Even for sex. This way we also find out that Natalie didn't actually love Jimmy and probably just stuck with him for the money.