I looked at the 1940 Census and there are other Henry Nelson born about the same time and place as yours who were living outside of Lac Que Parle County. The problem there is no way to tell if one of them was your Henry.
I'd find Hannah and the children's obituaries and see if Henry is mentioned in any of them.
Occasionally men just up and left their families with no explanation. Sad but true. Successful Searching!