The device supports a switch, it's true. Simply ignore that portion of the wiring diagram 
Wire Neutral to the N screw post, Wire Hot to both the L screw and the IN screw. Wire the Load up to the Out screw. All done.
I wire the Hot to IN and then add a small jumper between IN and L. All the current is flowing along the IN to OUT path while the Nano itself takes a very small current.
