Neither "nexii" (it may have been had the the singular been "nexius"), nor for that matter "nexi":
unlike "cactus", which is originally a Latin -o- stem 2nd declension male noun, Lat. "nexus" is the 4th declension (-u- stem) "supine", or verbal noun, of "nectere" = "to bind" , meaning "the binding/bond/connection"; 4th declension nouns had plurals in -ūs (in other words, the only difference with the singular is the long "u").
However, usage of Latinate plural "nexus" in English is rare outside philosophy books: "nexuses" or "nexusses" are more common.