Hello,
To begin with, there are two basic steps to check (probably already done but who knows.)
- in the BIOS (at startup press F2) does it recognise the hard drive? (in the BIOS go to / Advanced > SATA or Disk and look to see if the M.2 is detected.
- Some BIOSes need updating too:
https://www.intel.com/content...

Check that the M.2 disk is properly clipped into the slot (this has already happened to me). Remove and replace it, or change the M.2 slot,
If this does not change anything, disable VMD in the BIOS,
If this does not change anything, the hard disk may not be mounted (initialised). In Windows, open Disc Manager and initialise the disk,
If it is, at worst test it in another PC.
Note that the Fury M.2 is PCI Gen 4 and the NUC 11 does not support Gen4 but Gen3. The M.2 Fury will therefore work in Gen3.

Intel.com/content/www/us/en/support/articles/000029624/intel-nuc/intel-nuc-kits.html