If sweat is hitting the screen, you should consider wearing the iPod in a different location. If sweat drops hit the headphones jack, or the button seams, it can get inside the iPod and probably cause problems. It's not waterproof (or even water resistant).
This is a 6th gen nano, and I don't think it has a Hold switch (or setting) like earlier models. There are some exercise-related settings
but they are not related to volume.
There are products that allow you to wear your nano on your wrist (like a watch) or on your arm (armband). That will get it out of harms way from sweat, and maybe make accessing it during the workout more convenient.