iTunes does not store folders. In order to remove photos from your Nano, you remove them from the folder you have your Nano set to sync photos from. You can view which folder this is from under your iPod's Photos configuration pane in iTunes.
Plug your iPod in, select it from under Devices in the left hand pane of iTunes to bring yourself to the iPod's Summary tab. Now look for the Photos tab along the top and select it. Under this tab, it will show you what folder on your PC your iPod is syncing photos from.
Then browse out to that folder and remove the photos you no longer want on the Nano from the folder. Lastly, resync your iPod.
B-rock