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Gaussian process ($GP$) regression is a widely used non-parametric modeling tool, but its cubic complexity in the training size limits its use on massive data sets. A practical remedy is to predict using only the nearest neighbours of each test point, as in Nearest Neighbour Gaussian Process ($NNGP$) regression for geospatial problems and the related scalable $GPnn$ method for more general machine-learning applications. Despite their strong empirical performance, the large-$n$ theory of $NNGP/GPnn$ remains incomplete. We develop a theoretical framework for $NNGP$ and $GPnn$ regression. Under mild regularity assumptions, we derive almost sure pointwise limits for three key predictive criteria: mean squared error ($MSE$), calibration coefficient ($CAL$), and negative log-likelihood ($NLL$). We then study the $L_2$-risk, prove universal consistency, and show that the risk attains Stone's minimax rate $n^{-2\alpha/(2p+d)}$, where $\alpha$ and $p$ capture regularity of the regression problem. We also prove uniform convergence of $MSE$ over compact hyper-parameter sets and show that its derivatives with respect to lengthscale, kernel scale, and noise variance vanish asymptotically, with explicit rates. This explains the observed robustness of $GPnn$ to hyper-parameter tuning. These results provide a rigorous statistical foundation for $NNGP/GPnn$ as a highly scalable and principled alternative to full $GP$ models.