I would think either one of two things would happen.
A) The Holy Knight is not a valid target, even if the player you targeted wants to select it
or B) the creature can be targeted, but it the spell would basically fizzle, because even if you're the one targeting it, it still cannot be AFFECTED by opponents spells and that spell is still an opponents spell.
I'm more leaning towards the first though. It would not be a valid target, even if the player controlling it wanted to.