There are a few reasons you don't see more nitrous kits in tdi's:
A - cost vs gains for an "average" modded car
B - the very often misunderstood way nitrous works on a diesel compared to the fast and furious way that the masses know
C - simply, most people just don't need it.
Now if you have a 12mm or 14 mm pump, some .260um nozzles, maxed out your big turbo in terms of efficient boost, and a very fat fueling map, you probably are a very good candidate for some extra oxygen in the chamber.
Nitrous oxide will work wonders a fuel rich diesel. When the nitrous is injected into the intake piping, it is sprayed out well below zero degrees. This will absorb a great deal of heat from the air charge and increase the density. The increased density alone translates to a power improvement and smoke reduction. Numerous diesel sled pullers and drag racers running 100 psi or more of boost use nitrous and water/meth exclusively as their form of intercooling.
In the combustion chamber, the oxygen rich nitrous will enable more fuel to be burnt completely increasing cylinder pressure. This is where the added power comes from. Smoke will also be drastically reduced due to the more complete combustion. Of course, you always can inject too much and cause a loss of power or even a flame out in stupidly excessive amounts.
The best way to set up nitrous is on a dyno. Slowly increase the jet size until the power starts to drop. When the power begins to drop, put the largest nozzle size with a gain you tried back in. Properly set up, it's a nice, reliable power adder. It's just a little expensive, complicated, and not really needed for the average modded tdi. I'm looking at installing a setup myself when I reach the point that some other members have on here.