What is RRCSetupRequest in 5G NR?

It is the uplink RRC message the UE sends to request establishment of an RRC connection in NR.

What comes after RRCSetupRequest?

The gNB responds with either RRCSetup if the request is accepted or RRCReject if the procedure cannot be handled.

Does RRCSetupRequest carry a NAS message?

No. The initial NAS message is transferred later in RRCSetupComplete, not in RRCSetupRequest.

What identity is used in RRCSetupRequest?

The UE includes either ng-5G-S-TMSI-Part1 when a 5G-S-TMSI is available or a 39-bit randomValue when it is not.