A common political cliché says that it’s not the scandal that gets you; it’s the cover-up. Alexander Nanau’s coruscating documentary “Collective” supersizes that formulation. Nanau begins with a terrible tragedy, which is likely enough of a subject on its own: the 2015 fire at Bucharest nightclub Colectiv, which killed 26 people. But in this movie, the fire—skin-crawling footage of which plays just before the credits—is just the beginning. The real story takes place afterward, when 38 more people died in hospitals, and a frighteningly small cadre of people tried to find out why.