I believe it’s normal for the .hex file to disappear after you load it onto the drive, and the drive will remount. At least that’s what mine does. I copy the .hex file over.
According to my understanding, the MBED OS is not officially supported on the BLE Nano V2 board:
I selected the nRF52_DK as the target board and have gotten the mbed-os-example-ble-BatteryLevel example partly working on my Nano V2 board, but I think to make it work right, I would need to make additional changes for my board. The nRF52_DK is a Nordic Semiconductor design board which uses the same chip as the NanoV2, but is a different board than RedBear.
If you are able to use the Arduino library, I would go with that. I have gotten that to work, no problems so far