Could be this reason above ^^

Where do you have the private key "my_n9_identity" ?
when linux says "No such file or directory" it usually means you have not specified where to look for the file in question...

Now I am going to take a really wild guess and say it is in your .ssh/ directory, as that is the customary place to put keys into

So, the reason it works with Nautilus is that it goes and looks for the keys in the default ssh directory, and finds it there.

On command line, you should maybe try something like:

"ssh -i ~/.ssh/my_n9_identity root@192.168.2.15"