If that also doesn't work and you don't see any debug messages (make sure the Arduino console is set to 9600 baud) then you may have a bad gamepad nano.
Also, it's not necessary for there to be a Bluetooth connection to see the gamepad debug messages. The buttons should still generate messages if the debug option is enabled. Even if no debug defines are turned on you should see a version number print out to the serial monitor.
If you see nothing and the serial monitor is set correctly then the nanomiht be bad.
Did you successfully flash the gamepad nano? It would be very odd if you were able to flash it yet no debug messages appear.
if (!SD.begin(SDCHIPSELECT)) { Serial.println("#SDBF"); // SD Begin Failed return;