Most likely you haven't followed the README file that comes with natiostat. It states you must give debug.log proper permissions so that nagios user can write to it. That's why debug has nothing in it.
There is far too much info to post here, that isn't already in the README file, so please give the README file again. If there is something in particular besides "I have nothing" I'd be happy to help.
My guess is, that nagios is not even passing information to nagiostat due to you not having your PERF-DATA-HANDLER setup correctly.
Also, inside the nagiostat.conf file, there are items such as "where is rrdtool" and stuff that needs to be configured.
In order to enable debug, you must edit the nagiostat file and change the part about debug to a 3.