After the clubs were believed to have agreed a fee of around £100,000 for Nash, it looked as though the custodian was on his way out of Edgeley Park, but Megson has said that he refused to be held to ransom by 27-year-old Nash, who insisted on being made the club's highest paid player.
Megson also claimed that the player's agent impeded the deal for Nash, as his fees were extortionate, and the club were simply not ready to meet his demands.
"He uses a barrister as an agent and the barrister wanted as a fee 50 per cent of what I earn in a year for his two hours work," Megson told the official West Brom website.
"We wouldn't be prepared to pay that anyway, but we also wouldn't give the wages that Carlo was trying to get to any player here, so that's dead."
Meanwhile, Megson is keen on bringing Stoke City youngster James O'Connor to The Baggies, as he looks to find a replacement for captain Derek McInnes, who has been ruled out of action for the rest of the season.
The Potteries club have already turned down one bid from West Brom for the Republic of Ireland Under-21 international, but Megson is ready to return to the Second Division club with an improved offer.
"We have made an offer for James, it was a while back, maybe two or three weeks ago, and it was turned down," explained Megson.
"Then we saw in the paper on Sunday that he'd not figured for Stoke on Saturday for the FA Cup tie against Nuneaton. So we asked again yesterday and I believe our chairman is in the process of speaking to their chairman to see if anything can be done."
