Nyla, Shirshu Sleuth
When Nyla enters, exile up to one target creature card from your graveyard. If you do, you lose X life and create X Clue tokens, where X is that card's mana value. (A Clue token is an artifact with "{2}, Sacrifice this token: Draw a card.") At the beginning of your end step, if you control no Clues, return target card exiled with Nyla to its owner's hand.
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Reglas oficiales (4) · Scryfall
Creating a Clue token this way isn't the same thing as investigating. Notably, an ability that triggers whenever you investigate won't trigger because of creating a Clue token this way.
Clue tokens are artifact tokens with "{2}, Sacrifice this token: Draw a card."
Nyla, Shirshu Sleuth's second ability has an "intervening 'if' clause." That means the ability won't trigger at all unless you control no Clues at the beginning of your end step, and the ability will do nothing if you control a Clue by the time it resolves.
If Nyla leaves the battlefield before you return the card to your hand with the last ability, the card remains exiled without a way to return it to its owner's hand. If Nyla returns to the battlefield as a new object (such as if you airbend it and cast it again), it doesn't maintain connection to cards exiled by Nyla previously, and they cannot be targeted to return by the current Nyla.