Hi there! Because the forum you originally posted in is for beginners trying to learn the basics of Photoshop, I moved your question to the Photoshop General Discussion forum, where you'll get more specialized help.
To help others help you, please read through this article and provide any additional relevant details.
To create a HDR image, you normally would capture 3 (or more) exposures as 3 (or more) raw files then merge the 3 (or more) images produced from these files.
What is the point in creating 3 pseudo-exposures from a single raw file then merging them to an image?
>> I have created three photos from a .NEF file with the following ev for each one: -2, 0, +2
Then you don't have any HDR data to merge: all you have is a single exposure and no additional data, just tweaks to the appearance of that data.