Did you configure these iTunes U episodes to sync to your iPod from under the iPod's iTunes U configuration tab in iTunes? To access this tab, plug your iPod in and select it from under Devices in the left hand pane of iTunes to bring yourself to the Summary tab. Then locate iTunes U along the top and select it. Here you can configure how and what iTunes U content syncs to your device.
If you do happen to make any changes from under this tab, make sure you click the Apply button in the lower right hand corner to sync the updated changes to your iPod.
iTunes U content can be found on the Nano from the Home Screen or under Music as well.
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