There is not enough evidence in the story that would substantiate that Slim is a lonely man. This is, if you use the word "lonely" to the same extent as it is applied to Curley's Wife, Candy, and Crooks. If you compare the four, Slim would definitely stick out as the one who is the least lonely of them all. In fact, Slim seems to have achieved a level of self-sufficiency which may be the result of a life which, in his eyes, is somewhat satisfactory.
To answer this question with more accuracy, I would bounce back to the two main characters, and focus mostly on George, and not Lennie. Why? Because Lennie, in his mind of a simpleton, knows and trusts that George will always be his companion. He makes plans that include George, feels safe with him, and has developed a bond that is strong enough for him to know that George is not going anywhere.
Yet, what about George's own needs? He does not see Lennie under the same light as Lennie sees him. George is basically dragging around life with Lennie because he is compassionate enough to help him. However, he lives in consistent anxiety and stress hoping and praying that Lennie's rough ways will not cause another accident, or another accidental death-which is worse. He worries about what Lennie says and does all the time. He knows that Lennie is a burden, but it is one that George sees himself carrying for the rest of his life. This is not exactly what he envisions for himself as a person, but it is what he has come to accept.
Therefore, George is the loneliest of them all. He does not fit in with the ranch hands as well as the others fit in with each other, he has to live with the burden that is Lennie, and he has to look out for himself because he has nobody else.
In the end, when Lennie accidentally kills Curley's wife, George did the ultimate act of mercy by shooting Lennie in order to spare him a slow death in the hands of a vengeful lynch mob. When Lennie dies, we can feel deeply how lonely George truly is in this world, and we can also realize how lonely he has always been.