Make his ult bullets do magic damage instead of physical so he can't shred through all of someone's armor instantly on his ult.
Magic damage shreds though 100% of a targets armor, as it is completely unaffected by armor :/
Also, magic damage > physical damage.
In bases, items, or itemizing for an even damage spread: magic damage has a lot less MR to contend with than physical damage has armor to contend with.
Bases, items, and itemization offer such better incentives for armor than MR that armor is pretty much always 30%+20 points higher than MR as well, giving a free BC+YGB in terms of penetrations throughout the entire course of a game rather than the post 2 major armor pen items phase of a game, which does not account for a large portion of game length.
The only downsides of dealing magic damage are added to magic-damage sources after the fact, such as cooldowns, mana-intensive sinks, an entire kit with no sustained damage and nothing but burst, or relying solely on ability power to scale throughout the game: a stat that has no use outside of that end, where any other type of scaling offers more useful bonuses that aren't married exclusively to casting abilities.
Making Lucian's ultimate deal magic damage would be an obnoxious and fairly nonsensical buff.