Nitrogen vs air

I didn't understand what could damage wheels, the mix of nitrogen and air?

Compressed air has moisture in it, and can corrode some wheels, especially steel wheels. Nitrogen is free from moisture so no problem. At least that is my takeaway.

I have not personally come across this but suppose it is possible in some regions of the world. (Near the ocean...)

Wells is correct, it's the moisture inherent in compressed air that can cause corrosion. This is usually more of an issue in very humid areas where moisture content of the compressed air is higher.