Do the accessories given from female massager in Veilstone City depend on massaged Pokemon?

No, the accessories given by the female massager in Veilstone City in Pokemon Diamond, Pearl, and Platinum do not depend on the Pokemon you bring to her.

She will always give you a "Lucky Egg" after you massage a Pokemon. This item increases the amount of experience points gained by the Pokemon holding it.

So, no matter which Pokemon you bring to her, you'll always get the same accessory.