seems you are powering the Nano with 12V, that's a huge load on the regulator... You probably get some issues generating the 5V for the other devices. Have you checked what's the Amp required from the nano (besides it's own consumption).
probably up to 150mA for the DFplayer and 50mA for the Lora board + the nano let's say 50mA too = 250mA
➜ the regulator has to burn (12V - 5V) x 0,250 A = 1,75W... It's probably safe to keep power dissipation under 0.5 W.. (might shut down otherwise due to heat).
you might want to try by powering the system through USB first and see if you get the same behavior