For example if I want to make my inbound capacity 0.002, I need to pay that much?
No, you will have to pay more. You need to pay a service a fee and cover the on-chain transaction fee just like nc50lc said.
Will this work? I deposit some amount into my nicehash wallet using lightning network to open my wallet inbound channel.
You will gain inbound capacity, but, in your case, it doesn't make much sense since you want to withdraw from NiceHash. You could spend your coins over the LN elsewhere or try using BlueWallet.