Hi Bob,
Don't connect the Nextion to 0 and 1, these are used by the serial monitor. On a Mega you should have blue on 19 (RX1) and yellow on 18 (TX1).
Can you confirm that the Arduino code you are using is the code in:
Using Nextion displays with Arduino part 3 ?
The code there is both shown in code tags in the main message and as a downloadable file at the end of the post.
Also confirm that you have selected Board: Arduino / Genuino Mega or Mega 2560 under Tools in the IDE.
Also confirm that the Nextion HMI file you are using is the one in 2019-07-25 Arduino Nextion demo 43.zip , which can be found at the end of the first part of the tutorial.
In order to check that I've not made any mistakes with my code I have just downloaded both the Arduino code in part 3 and the HMI file from part 1 and uploaded them to a Mega and my Nextion and checked they work.
When you reset the Mega you should see the initial message on the Nextion at the bottom, which reads:
Nextion demonstration by Perry Bebbington. For support go to https://forum.arduino.cc/index.php?board=7.0
And the clock in the middle should start running from 00:00:00