do you have any idea on how to make something like the nexus, where you can choose whatever level you want to play first, but when you finish the level you go back to the hub and the door is blocked off for the rest of the game?
Sure thing!
I'll assume you're using RPG Maker 2003, if so, my recommendation would be using Switches and Variables. You'll want whatever triggers the world to be completed to switch these ON, and probably a Teleport event to get the player out of the world if you choose.
Let's say there's World X. For the door sprite, there will be at least two pages in the event for it. The first page is the normal teleport event, with the normal sprite. On the second page, there'll be nothing written. There will also be a Condition to activate it. The Condition will be something like ( Switch "World X Completed" = ON ). So when the Switch is On, the door won't open anymore.
Now, how to trigger the Switch? There's a variety of ways, but basically, when you finish the stage, there needs to be something that turns the "World X Completed" Switch to ON. For example, if it's just finding an Effect, when you get it, turn the Switch ON and you'll be set.
If it's more complicated, like multiple objectives, I'd recommend Variables. If you need five Effects, for example, have each one you collect add +1 to "World X Completed" Variable. And instead of a Switch on the second page, you'd want the Variable conditions to be met- say, equal to five in this example.