I faced a situation today where I am trying to attach to the page_load event of a child nested master page to load some data on the master page itself. The event was not firing at all. Later on I figured out that the AutoEventWireup property on the Page directive is false!!!
Seems by default when you create a nested master page, its AutoEventWireup property is set to false! What you need to do is just make it true!
Hope this helps!