Apparently the error message is the embedded micropython equivalent of "file not found".
"make flash_nucleo" first copies the file passed on the command line to the Nucleo through the 2nd USB (mounted filesystem). Either that failed without halting the makefile recipe, or else it succeeded but the filesystem was not mounted write-through and the file was buffered at the host and didn't actually get on the Nucleo filesystem. Either way, it suggests that the hex file never got flashed to the Caravel development board.