Do you have a non Microsoft keyboard you can use? I recently built 2 DN2820FYKH NUC's and with BIOS 0015 they would not let me into the BIOS at all with both MS keyboards I had, the Num lock lit up and all I could do was ctrl+alt+del when it told me there was no boot device....
So I borrowed a no name brand USB keyboard from a friend and this let me into the BIOS where I updated in order to the latest BIOS 0032. Testing with the 2nd NUC I updated to 0021 and the MS keyboards worked.