how to Simulate Nios II with custom component?

To the best of my knowledge, there are not any additional tools to support you. Beyond setting the NIOS running your program, there isn't a lot you can do without additional labor on your part.

You can inspect the nets inside the NIOS instance and observe the program counter, what opcode has been decoded, the instruction/data bus activity, etc.

Determining what file+line of C code is being executed during Modelsim simulation is probably do-able via Modelsim TCL and some offline processing, but will take some work.

If traffic on this forum is an indicator, NIOS simulation is not commonly done beyond the level which you have already achieved (i.e. consider moving to hardware).