How Loki and Sylvie caused a Nexus event on Lamentis seems important. It should have been impossible because of the whole apocalypse, everyone and everything around them being destroyed, no timeline branching possible thing.
The obvious explanation is it's a fairly lame plot device (in a "actually you can create a nexus event during an apocalypse if <insert arbitrary criteria here>, and that's how they escaped" kind of way), but I don't think it's that, partly because I don't think Marvel are that lazy, but mainly because it's been given a load of significance, both in the episode (the TVA trying to work out what the nexus spike was, Mobius saying that connection could "bring the whole place down"), and by the episode being called, "The Nexus Event."
So... how did they create a nexus event despite being about to be squished by an entire planet?