I had this issue as well. Here's what fixed it for me ultimately:
Background: I have a theory that both the Nano and the AirPods store a "default" volume level for each other. The initial connection is usually too quiet, because people rarely listen to their music at max volume on their iPhones. The iPod Nano doesn't seem to adjust the volume of the device, as much as it boosts sound output instead. Working with this theory, I decided that if I can get the AirPods to increase their "default pairing volume", then I could get things working again. So, in that vein, I started to pair and unpair the AirPods until I could get things working again properly.
So here are the steps I used that ultimately worked. It should be noted that I'm still a little shaky on these, as it sometimes seemed to work and sometimes not, but the magic bullet seemed to be resetting the iPod Nano.
1. Delete the AirPods bluetooth entry from the Nano.
2. Turn off Bluetooth on the Nano.
3. Reset the Nano by holding the home button and the lock button for a while until the Apple Logo appears.
4. Reset your AirPods entirely by holding the button for 15 seconds.
5. Re-pair your AirPods with your iPhone.
6. Open the music app on the iPhone and play some music.
7. Turn the volume ALL THE WAY UP. (Yes, I know this hurts, but you can do it for a second.)
8. Switch playing from the AirPods to playing from the iPhone, but keep the music running until the AirPods are disconnected.
9. On the Nano, turn on Bluetooth.
10. Put the AirPods back in their case, and hold the back button for 2-3 seconds until the white light starts blinking.
11. Pair the AirPods with the Nano.
I'm not sure why, but after doing this a couple of times, everything started working fine, and volume levels were what I expected. I'm hoping the volume levels stay proper for the long term. We'll see. Yes, this is a long, drawn out process, but it seems to work, and now I have properly loud AirPods on a Nano, which makes me happier than you can imagine.
