Robert Donat did not receive an Oscar nomination for portraying Richard Hannay in 39 Steps.
Robert Donat here plays the Alfred Hitchcock staple of the wrong man. The wrong man being the man who only by sheer bad luck not only gets into the central situation but also finds himself wanted for the crimes that were caused by the villain. Donat plays the wrong man as just an average fellow who happens to be in the wrong place that leads him into the sort of trouble he gets into. Early on in the film when he first hears of the plot and later that he has been framed for the murder of the person who have him that information Donat is very good at acting just like how just about anyone would in the sitauton which is being very much taken aback, and very confused.
Robert Donat here is being the leading man in the most traditional sense of the word. He is the man we follow through the plot and we have to go along with him through the various twist and turns that come up along the way. Donat is very good in allowing on in through two way. He gives the appropriate reactions to the various events that take place and gives the right down to earth approach that allows us to go right along with. Also importantly Donat gives a very charming portrayal of Hannay. He is fun just to follow through his troublesome affair and he keeps the right sort of the tone for the film with his portrayal.
Donat has some great lighter moments in the film such as when he tries to get through a political rally speech by winging it making for a very entertaining moment. He also is great in his scenes with woman Pamela (Madeleine Carroll) who he also brings in on the mystery and the two end up handcuffed together. Again Donat has a great deal of fun in their scenes together as he shows Richard trying to keep her in control as well as tries to convince her that he is not a murderer. Donat brings the best out of these scenes playing the part with a great deal wit, and terrific comedic timing. Importantly he never overplays his hand in this regard though, and keeps the proper thriller tone intact.
This is just a great leading man performance by Robert Donat and the perfect type of performance to lead a thriller of this sort. He is able to play the central role as the ordinary man in the extraordinary situation incredibly well. He does both properly reflect the problems his character faces so we can properly emphasize with him throughout the adventure, but at the same time he does manage to just have his performance enjoyable all on its own as well through his well placed humorous moments. Donat just makes for a charismatic hero that allows this to be a thriller that is a very easy one to watch go through its course.