Do you mean DNG (Digital NeGative) instead of DMG? If so, then you need a version of the camera raw plug-in that is new enough to support the D810 and then you can use the Save Image function in ACR to save a DNG.
If your intent is to convert many NEFs to DNGs then the standalone DNG Converter program may be more efficient.
The current version of ACR plug-in and DNGC are 8.7.1. You can update the ACR plug-in by using Help / Updates in PS-CC (or log out and log back into the CC Desktop app) and you can get an updated DNGC from the Adobe Updates page:
If you mean a Disk-iMaGe file then that’s something completely different and beyond the scope of Photoshop.