What happened to Jesus of Nazareth?

[The Mikado]

Simplest possible solution: he wasn't really dead when they took him down for the cross. 9 hours generally wasn't enough to die. The part about the tomb is either artistic license, or maybe they really put him in there to keep up appearances and got him out soon after.

A hot take! The hottest of takes!

Anyway, option 1, although "ascend" obviously shouldn't be taken to mean what it normally does.

It's certainly hot, but not quite as hot as "Jesus had a lookalike go up on the cross for him and got away," i.e. the Muslim take.

[The Mikado]

You can believe in the resurrection as a matter of faith, but not as a matter of history. The New Testament is not a book of history. If Jesus was a historical figure, how was he historical (which is not the same as saying he didn't exist; he more than likely existed as a 'canvas'?) That's the question. Philo, Damis, Clovius Rufus, Pliny etc don't mention him. Much of what is claimed as evidence of early Christianity/Christians is often preserved only in apologist rebuttals. Cassius Dio's Roman History has 6 to 2 BCE and 30 CE missing for example. Quite a lot of what would establish Jesus as a historical figure (and detract from him as a supernatural figure) doesn't survive for the same reason as early Christian works contrary to the Roman Church don't survive. Building a state religion requires a lot of clerical 'assistance'.

The argument from silence is a tricky thing one to make. One has to make a compelling case for why a writer ought to have mentioned X. Josephus does twice (I'm aware of the interpolation of one of the passages but most scholars agree there is an authentic core), but then he is writing Jewish history. Why would one expect the writers you listed to mention Jesus in more detail than Josephus did?

The rest of your argument is a mix of presentism and conspiracy theory silliness. Apparently backwater preachers from two thousand years ago just leave reams of documentation for future generations to suppress.

Do you believe that the early Church retained all historical and
theological works on or referencing Jesus of Nazareth?

Why would any writer outside of the Jewish or Judaean-focused audience care to record anything about a random Eastern holy man who was executed? Outside of Philo of Alexandria, who was in fact a Jew and wrote about Jewish issues, I can't think of any contemporary writer in that era who would have any reason to discuss Jesus. The first disciples were not exactly from scholarly backgrounds and wouldn't have much reason to write (at least until they recruit the learned and talented Paul). Honestly, a better skeptic argument would be wondering when exactly Galilean fisherman St. Peter figured out how to read and write.

[The Mikado]

I mean, there was no preexisting Jewish tradition that a Messiah would be divine or immune from death. King David is granted the title "Annointed One" (Literally Messiah) and he was neither of those things. He was the powerful and successful king who seized Jerusalem and made it the capital of the Israelite kingdom...which is more or less what the ancient Jews were expecting their Messiah to be: a descendant of David who would seize Jerusalem and the Holy Land and start a new holy Kingdom ruled by the line of David.

Christianity changes the story dramatically because it claims Jesus was not only the Messiah of the Jews, but, more importantly, was the Son of God and, by extension, Savior of all Mankind. To the Christian, Jesus not establishing a kingdom in Israel is irrelevant because he rules over a more important Kingdom of Heaven, and Jesus' death is a sign of success, not failure.

It's just worth keeping in mind that that perspective, the Christian one, is very much a flipped script and a radical departure from the traditional concept of what a Messiah would look like (and a massive departure from the idea of what a Messiah would look like that Jews are still waiting for).