Let me guess, this is the first reboot after you installed the service? If so, the PID directory didn't get deleted, per se -- rather, the directory that the PID directory lives in is a RAM disk, which gets unceremoniously wiped at each boot.
An Ubuntu-compliant init script is required to create any directory under /var/run that it needs in order to operate. Since, presumably, the init script for the service you want to run isn't doing that, you'll need to modify it yourself. It's (usually) as simple as adding
mkdir /var/run/nexus to the top of the init script.