How to correctly configure deepsleep for STM32L0xx
In addition to dim's answer, which would indicate that you might try manually turning off peripherals before going into deep sleep (I don't know if this is handled by deep sleep all by itself) to see if this reduces your sleep current, you need to absolutely pore through the schematics for the Nucleo Board to see if there might be pull-ups, LED's, etc, that might be sucking up current.  I haven't used the Nucleo, but on some ST boards, there are jumpers (solder and otherwise) that you might need to deal with.  A dev board can be very useful, but it probably isn't your best platform to test low-current systems.

You should also configure all your I/O's to be high-Z before sleep.