Iterate Through Names, list unused: Type Mismatch with Cells.Find

My goal is to list all names in my workbook which are not referenced in a formula. Here's my code so far:

Sub FindUnusedNames()
    Dim Nm, lngLast As Long, rng As Range
    For Each Nm In ThisWorkbook.Names
        lngLast = Sheets("UnusedNames").Range("A1048576").End(xlUp).Row + 1
        Set rng = Cells.Find(What:=Nm, After:=ActiveCell, LookIn:=xlFormulas, LookAt:= _
            xlPart, SearchOrder:=xlByRows, SearchDirection:=xlNext, MatchCase:=False _
            , SearchFormat:=False)
            If Not rng Is Nothing Then
            Else
                Sheets("UnusedNames").Range("A" & lngLast).Value = Nm
            End If
        
    Next
End Sub

It bombs on the Set rng line. The goal is to iterate through all names in ThisWorkbook.Names and list those not referenced in a formula or in a cell value on the worksheet named UnusedNames.