It seems some blogs and my support query with Nikon tell me to ask Adobe.
It appears that Tethered Capture no longer works with Nikon cameras. I am using latest Lightroom CC and have an Apple Macbook Pro (V. 10.11 -- El Capitan).
Seems to have broken the connection that worked before.
Some other blogs have complained about the same. No confirmed fix reported as yet.
As a photographer, this really could be a showstopper if I shot this way every day. But, I am only an occasional user of this tool so it went undetected for some time.
I am surprised that it has not been reported and fixed by now after 2 new updates to Lightrom CC have been released. I am at 2015.3.
It is a known issue as of now, and is being worked on, as with the update of Apple to El Capitan, the Nikon SDK seems to be broken.
Please check the following article : Lightroom and El Capitan | Mac OS 10.11