Do you have the Celestron #93920 cable?
https://www.celestron.com/products/nexstar-rs-232-cable
This cable plugs into the modular jack on your Nexstar hand controller and provides the RS-232 serial DB-9 Female connector which will attach to the DB-9 Male connector supplied with the ASIair.
The RS-232 standard for the 9-pin connector (and earlier DB-25 cables) had many pins that served some function in the days before UARTs (Universal Asynchronous Receiver Transmitter chips) were available. But today the UARTs do most of the heavy lifting and the only pins that are really used anymore are the "transmit", "receive" and "ground" pins ... just 3 of the 9 pins are used.
Pin #5 is ground. On the "male" side pin 3 is transmit and pin 2 is receive. On the "female" side, pin 3 is receive and pin 2 is transmit.
While that part is "standard" ... each vendor does their own proprietary thing when decided how those pins map to the modular jack that plugs into the scope or hand-controller. It's really not possible for ZWO to supply all the possible connectors because there are so many of them.
They supply the interface that gets you to the DB-9 male connector ... and you have to supply the cable that gets you from the DB-9 female connector to whatever it is your scope needs. (Some scopes are supported via direct USB and don't need the RS-232 DB-9 adapters).
Hopefully the correct cable will resolve the issue. If it does not ... you may need to contact Celestron.
I'm not sure about Celestron ... but some scopes don't leave the serial port enabled at all times (some don't enable it until after the star alignment is completed.)