I can prove that the "nested interval" property implies the "compactness property" (every closed and bounded set is compact) which then implies LUB.
Lemma 1: If A is compact and B is a closed subset of A then B is compact.
Proof: If Un is a an open cover for B then adding the complement of B (which is open since B is closed) gives a open cover for A. Since A is compact, there is a finite sub-cover of A. Dropping the complement of B from that gives an open sub-cover of B.
Lemma 2: The closed bounded interval [a, b] is compact.
Suppose it is not. Then there exist an open cover which has no finite sub-cover. Take c to be the mid-point of [a,b]. Then either [a, c] or [c, b] (or both) cannot be covered by a finite subset of the open cover. Divide that interval in half- again, at least one of the "halves cannot be covered by a finite subset of the open cover. Continuing in this way, we get a nested sequence of intervals, of length (b-a)/22, none of which can be covered by a finite subcover. BY THE NESTED INTERVAL PROPERTY, there is a unique point, p, in all the intervals. At least one of the sets, call it U, in the original open cover contains p. Since that set is open, there is some interval, [p-delta, p+delta] in U. But since the length of the intervals goes to 0, some interval has length less than delta and so is completely contained in U which contradicts the fact that no finite subcover would cover any of the intervals.
Theorem: Every closed and bounded set is compact.
Suppose A is closed and bounded. Because A is bounded, it is contained in some interval [a, b] which, by lemma 2 is compact. Because A is closed, it is compact by lemma 2.
"Compactness property" implies LUB
We will prove the contrapositive: if LUB is not true then the compactness property is not true.
Suppose there exist a non-empty set, A, having upper bound b, but no least upper bound. Since A is non-empty, there exist x0 in A. Since A has no least upper bound, it does not have a largest member and so there also exist x1in A with x0< x1. Let X= [x1,b]U closure(A). X is both closed (because it is the union of two open sets) and bounded (because it is contained in [x1,b]). We will show that X is not compact by exhibiting an open cover that has no finite sub-cover.
For any x contained in A, x> 1, let Ux be the open interval (x0, x). If p is in X, p> x1> x0. To show that p is in Ux for some x we need only show that there exist x in A such that p< x. p is either in A or is a limit point of A.
If p is in A then, as before, since A has no largest member then there exist x in A such that p< x.
If p is not in A then it is a limit point of A: for any delta, there exist x in A such that x is in (p- delta, p+ delta). If there were no x in A larger than p (so that p is an upper bound on A), then we have x in (p- delta,delta) which say that p is the least upper bound of A- which contradicts the hypothesis that A has no LUB.
That is, the collection {Ux} is an open cover for A.
But there clearly is no finite sub-cover: since all sets are of the form (x0, x), any finite number of them has a largest such x. That x itself is in X yet is not in any of the intervals in the finite collection. QED.