I came across an issue where I had to connect a Ulink Plus to a Nucleo board. As the connector do not match I searched online and I saw few options, but everyone of them was missing something.
At the end, I have found this solution:
The boards cost $2 for 10 + shipping, and parts are not that expensive to order from the parts site LCSC ( free shipping if you order the PCB ).
P3 is a side connector, after connecting it the JTAG can be plugged vertically.