That's because he's using 4 controllers (3 keyboards and one control surface) that use USB-MIDI.
You are not using those types of keyboards, so it's not the same. However, assuming your Roland A800 is the black A800Pro, then this is dead easy.
Connect MIDI OUT from the Nord to MIDI IN on the Roland A800Pro.
Set MIDI MERGE switch to ON
Connect USB from Roland to Mac
Set your Nord's MIDI channel to any channel that is different from the Roland's channel.
Now, this will get the two keyboards sending their MIDI data to the computer over a single USB cable. The next part can get tricky.
Given that you're intending on doing this live, I recommend something like Mainstage, Gig Performer, or a similar live Virtual Instrument host application. This will allow you to run numerous virtual instruments (ie. Omnisphere, Keyscape, etc) at the same time, and route signals where you want, when you want. The specifics of this are beyond the scope of this post, but there are LOTS of tutorials out there for those software solutions.
If you want to test this without spending any money on new software, then run both Omnisphere and Keyscape. Set one to the MIDI Channel that the Nord is transmitting on, the other to the MIDI Channel the Roland is transmitting on. Now each virtual instrument will be played by a different keyboard.
That's the basics. Good luck.
* Edited to add: you are a LONG way away from being ready to use this live. Don't even think about taking this on a gig in the next 30 days or more. Trust me, this is experience talking.
** Edited again to add link to A800Pro manual: Clonk here.