Lucky day! My M9 was stuck in the exact same situation. Locked BL and S-ON. I went wrong in the OTA process and the phone wouldn't turn on.
Basically what you have to do:
Hold Power + Vol Down + Vol Up at the same time
Then let go.
Then Hold Power + Vol Down
Get into download mode. See your OS Number.
For example its: 2.11.708.27 (that was mine)
Go upto Google, type Your OS version OTA.
So: 2.11.708.27 OTA
I typed that, downloaded the 900MB OTA File.
Then, setup ADB and Fastboot (Google it).
Rename the OTA file so it looks like ptt.zip
Then, boot into stock recovery. You will see a red triangle when you get there. Hold Power and press Volume Up once, then let go once the recovery options appear.
Press 'ADB Sideload update'
Connect your phone.
Type
adb devices
Your phone and serial number should show.
Type adb sideload ptt.zip
(Make sure to place the OTA file in the same directory as ADB)
It'll take about 15-20 mins depending on size.
Then wipe data and factory reset through recovery and reboot your phone.
Should be all good. It took me an entire weekend and 3 XDA members to figure this out.
Sent from my Nexus 6