Make script doesn't generate Preloader image for DE0-Nano board

You should abandon the idea of a separate preloader. It is now built into u-boot. You clone the altera-opensource/u-boot repo and point u-boot to the hardware-software handoff files and it will generate the preloader. The file you will be looking for after building u-boot is u-boot-with-spl.sfp. I am convinced there are bugs in their u-boot, but you should still be able to get the chip set up to run Linux. I suggest you take the time to read https://github.com/u-boot/u-boot/blob/master/doc/README.socfpga because it should clarify a lot of your confusion; it helped me a lot. I think you will want to use the socfpga_cyclone5_defconfig when building u-boot (that was the one I got to work; when I tried to use the one for my board, the DE1-SoC I got no console output which is kind of buggy). Clone the repo, point it to the Quartus project, configure it for socfpga_cyclone5_defconfig, and build. Put u-boot-with-spl.sfp on the A2 partition and you should be golden.