He had oppertunities on Namek and after the battle with Freeza...and all during the Cell Saga and stuff.
Poor Nappa :(
Because Vegeta never cared about him all that much I guess. Also considering that Vegeta was the one to kill him there is no way Nappa would have stayed loyal. Even if he did, by Namak Nappa would have been a weakling, which Vegeta would have no tolerance for.
Most saiyans are selfish and arrogant. Vegeta being the prince of this race doesn't help either. Vegeta knew he would be wasting the only chance he had at immortality by wishing nappa back. He also knew he was leagues above nappa in power therefore rendering nappa useless.