First you should verify that the Rscript requests do reach your Nexus by increasing Nexus's logging level as described here

If your Nexus runs behind a reverse proxy, check the proxies rules for handling the Rscript requests. Probably the reverse proxy containes rules for handling Maven requests (*.jar, *.sha1, *.zip etc). R-artifacts come in *.tgz format. An appropriate rule may be missing.