Programming a custom board without flash memory

Sounds like your FPGA is not properly configured at all. In Nios EDS, when you have the download cable connected to FPGA JTAG, does it recognize the cable at all? (Try to open Flash Programmer and it'll try to detect the JTAG connection.) This will tell you whether the JTAG debugger is alive at all and therefore, NiosII core is alive.

If you board doesn't have config Flash, then one way to config the board in debug environment is via JTAG. Otherwise, you can config the FPGA via passive configuration on power up from an external controller.