Maybe it is because many of the pinout diagrams for the Nano have SCL and SDA on the wrong pins.
You probably think (as I did and as the guys laying out the pinout diagrams) that these would be on digital pins, but they are not. They are on analog pins.
SDA Pin A4 SCL Pin A5
Once you wire it up correctly, this arduino I2C scanner will let you know you have proper connectivity and the address for the device:
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