I found a Hercules beetle in Nashville Tennessee. Is this beetle very lost or is it common to find one here?

Your source on the internet is confusing the hercules and the goliath beetle (related and a common mistake). What you found was a Kentucky coffee beetle (it has another common name that is more commonly used for this species but I can not think of it). It is a hercules beetle though not the largest species of hercules beetle in the world, it is the largest insect in North America.