Here's why:
* TMs are specifically for moves that are not learned naturally. They allow you to teach Pokemon moves that they would normally not be able to learn.
* Dig is a common move for many ground-type Pokemon. It's a move that's learned naturally by leveling up, not through TMs.
If you want your Pokemon to learn Dig, you need to:
* Level them up: Some Pokemon learn Dig at specific levels, so make sure you're training them.
* Use a Move Reminder: This item can be found in some games and allows you to teach your Pokemon a move they have learned in the past, including Dig.
Remember, the specific details may vary depending on which Pokemon Mystery Dungeon game you are playing.