I can't provide a direct source because it comes from an in-person, real life conversation, but I asked a distribution contact I have about this when the 200-500 first launched and I saw the price, and was told that without shadow of doubt, Nikon is making a huge profit off this lens. It is selling way above cost.
Bear in mind that this is completely normal for any lens. Camera manufacturers do not make money from bodies. The average profit off any body sold is 5%, except for the 1D/Dx cameras (and, I believe, the Sony α9) which are a little further up. The figure I've been quoted is that for every £1000 a body costs on the shelf, the shop and manufacturer are making about £50 profit each. (Exact rate obviously varies depending on the specific model in question and whatever distribution deals are in place.) When manufacturers offer those cash rebates for £100 or £150 or so, that's usually them giving up their entire profit from that body sale.
... Conversely, lenses have a profit margin of closer to 400%.
This is why manufacturers are willing to sell bodies at barely-above cost. The idea is that for every body they sell, you'll buy at least one lens. One lens sale more than makes up for one body sale. Most people buy at least two lenses per body, so now we're talking big profits. For the serious enthusiasts and the working professionals who buy a huge range of lenses, the lack of money made on the body sale doesn't matter at all.
Bodies are made and sold to drive lens sales. Bodies rarely make much money; lenses always represent huge profits. As such, bodies are seen as making a profit by encouraging those lens sales.
So, no, Nikon is not selling the 200-500 at a loss, and they're not just breaking even, either. If they're selling anything at a loss, it's probably the D500, and it wouldn't surprise me if the D850 was only breaking even, too. The 200-500 is a giant cashcow.