"Nintendo Download" refers to three related but distinct things depending on context:
Every Thursday (historically), Nintendo publishes a press release and blog post detailing new games, DLC, demos, themes, and sales hitting the eShop that week. Media outlets and fans use the term to discuss the drop.
Any time you purchase or redeem content on Switch, Wii U, or 3DS/2DS, you're performing a "Nintendo download." This includes:
"The Nintendo download for Xenoblade 3 is 14 GB" = the digital package you receive.
Bottom line: If someone asks "Did you see this week's Nintendo Download?" they mean the Thursday news roundup. If they say "My Nintendo download is stuck at 40%," they mean the eShop transfer.