Nanna's death takes one sentence in Gylfaginning and it is the strangest sentence in the funeral.
The gods have built the pyre on Baldr's ship Hringhorni. When Baldr's body is carried out to it, his wife Nanna Nepsdóttir sees it, her heart bursts with grief, and she dies. She is carried onto the pyre and burned beside him.
Snorri does not say she chose it. He does not describe a decision, a speech or a gesture. The verb is sprakk — she burst — and the whole event occupies less space than the dwarf Thor kicks into the flames a few lines later.
What she brings back from the dead
The one action attributed to her happens after she has died, and it is a piece of household administration.
Hermóðr rides nine nights to Hel's hall to ransom Baldr, and stays the night. In the morning, having got Hel's conditional refusal, he is given gifts to take back: Baldr returns the ring Draupnir to Odin, and Nanna sends a linen robe — a hlaðr, a headdress or embroidered band, in some readings — to Frigg, and a gold finger-ring to Fulla, Frigg's attendant.
In the middle of a mythology's most important funeral, a dead woman sends her mother-in-law a piece of cloth and her mother-in-law's servant a ring. It is the only moment in the Baldr cycle that acknowledges the existence of relationships between women, and it is over in a clause.
The Danish Nanna is nobody's widow
Saxo's Gesta Danorum gives a completely different woman. Nanna there is the daughter of King Gevarus, raised alongside Høtherus, who loves her. Balderus sees her bathing and is inflamed. Høtherus asks Gevarus for her; Gevarus warns that Balderus is invulnerable and tells him where to obtain the sword that can kill him.
Nanna herself is given a speech. When Balderus courts her, she puts him off with an argument: a god and a mortal cannot marry, because the great difference in their natures makes the match unequal. It is the only recorded instance of a Norse mythological woman refusing a divine suitor with a reasoned objection rather than a shriek or a curse — and she is refusing a god in favour of the man she grew up with.
She marries Høtherus, bears his children, and outlives Balderus, who wastes away and dies partly from dreams of her.
The Icelandic Nanna dies of grief for Baldr. The Danish Nanna turns him down and marries his killer. Both were written within a generation of each other, and the family tree records the Icelandic descent while marking that Saxo's version is not a variant but a different story.
Nepsdóttir, and a father who is a blank
Her patronymic is Nepsdóttir, daughter of Nep, and Nep appears in Snorri's list of Odin's sons and nowhere else. That would make Nanna Baldr's cousin. Nothing else is known about him, and the name may be a fossil from a lost genealogy.
Skáldskaparmál's catalogue of goddesses includes her, and her son by Baldr is Forseti, the god who reconciles disputes.
The earliest reference
The tenth-century Húsdrápa, built out of the carved panels of a hall at Hjarðarholt, includes the funeral procession — the giantess with her wolf, the gods riding, the pyre. Whether Nanna herself was depicted is not recoverable from the surviving stanzas, but the scene she dies in was on a wall in the tenth century.
There is no cult evidence for her: no place-names, no personal-name usage in the Viking age, no amulets.
The name, which is a small mystery
Nanna is not obviously Norse. It may be a nursery word — the reduplicated syllables that produce "mama" and "nana" in many languages — or it may relate to a verb meaning to dare. Its resemblance to the Mesopotamian moon-god Nanna, and to the Sumerian and Akkadian goddess names, has been noticed for a long time and is almost certainly coincidence; there is no plausible route of transmission, and reduplicated syllables recur independently everywhere.
Nanna remains in live use as a given name in Denmark and Iceland today, and in Danish it also means grandmother, which has nothing to do with the goddess. See name histories.
Being burned on a ship
The one element of her story with a solid archaeological counterpart is the ship pyre. Ship burials and ship cremations are well attested across Scandinavia — Oseberg, Gokstad, Ladby, Sutton Hoo in England — and the Arab diplomat Ibn Fadlan's famous account of a Rus funeral on the Volga in 922 describes a chieftain's ship, a slave woman who agrees to accompany him, and both burned together.
Ibn Fadlan's account is often invoked to make Nanna's death a description of ritual suttee. That comparison should be handled carefully: his woman is a slave, and the sources describe an elaborate consent procedure, ritual sexual acts and a strangling before the burning. Nanna is a queen who dies spontaneously of grief at the graveside. They are not the same institution, and the resemblance is at the level of "two bodies, one ship."
For the funeral itself, see the death of Baldr; for the tradition, the Norse overview.
Does Nanna return after Ragnarök?
Völuspá brings Baldr and Höðr back to the renewed world and says nothing about her. Snorri follows suit. Her son Forseti is likewise absent from the survivor lists, though his hall is described among the living gods' dwellings. The eschatological accounting in Norse sources is uneven and mostly interested in Odin's sons, so the silence is probably a gap in the record rather than a statement — but it is a gap, and retellings that reunite them after the end are supplying something the texts do not.
Is she a moon goddess?
The claim circulates and has no textual basis whatever. It arises from the name's resemblance to Mesopotamian Nanna, a genuine lunar deity, and from nineteenth-century comparative mythology's habit of assigning celestial functions to any figure with a spare one. No Norse source associates her with the moon, which in Scandinavian myth is Máni, a male figure pursued by a wolf.