The entrance to Nchuleft is not close to a road, like many of the previous ones. To spot it on the map, you’ll need to be close to the lava northeast from Red Mountain. There is only one way to approach it, from the east. The entrance is barred by a small circular metal door, at the tall structure. Behind it you’ll find some sort of heavy manufacturing facility once lead by the Dwarves.
As you enter the dungeon, turn right, then take the first left. There, you will find doors that lead to the other area. Go through them to reach the Nchuleft Depths. Once inside the next area, step on the closest wooden bridge and look left. The skyshard is next to the lava, at ground level. If you manage to jump into the lava, you won’t suffer fall damage, but be sure not to stay in it for too long.
There is also another way around, a bit safer, but far less fun. Who likes it safe, when you can perform lava sky jumping?
Sand Kingdom Moons - Super Mario Odyssey Power Moons