A harmonic function is a twice differentiable function that satisfies Laplace's equation. Recall that for a function to be differentiable, it must first be continuous.
As you found out by going through the calculations, the harmonic conjugate $v(z)$, if it exists, must be either $v(z) = \arctan(y/x) + C_1(x)$ (where $C_1$ is a constant with respect to $y$ but is possibly a non-constant function of $x$) or $v(z) = \arctan(x/y) + C_2(y)$.
However, neither choice is continuous on $\mathbb{R}^2$ or $\mathbb{C}$, so neither choice is harmonic. Therefore $u(z)$ does not have a harmonic conjugate.
To see that neither choice is continuous, consider the limit $(x, y) \to (0, 0)$ of $\arctan(y/x)$ and $\arctan(x/y)$ along the lines $y = x$ and $y = -x$. Along the first line, they are both equal to $\arctan(1) = \sqrt{3}$; along the second line they are both equal to $\arctan(-1) = -\sqrt{3}$.