I burnt the ISO image of Dungeon Master Nexus to a CD-R but it does not play on my real Sega Saturn console.

In order to play games on CD-R, you need a mod chip for your Saturn console. Moreover, if you want to play this game on a non Japanese console, you may need to change the country code on the CD. On the SegaXtreme - Saturn Utilities web page, you will find Satconv, a small tool to display/change the country code of a Saturn ISO image.