Very little is known of Nanna, what is known is she is the goddess of joy and her name means ’Daring.’ She is the wife of Baldr and mother to Forseti. When Baldr was slain she was so broken hearted that when they bore Baldr to the funeral pyre she died and was also placed on after him. Thor made sure her death was made sacred so she could join Baldr in Helheimr.

“The gods took Baldr’s body down to the sea-shore, where stood Hringhorn, Baldr’s vessel, the biggest in the world. When the gods tried to launch it into the water, in order to make on it a funeral fire for Baldr, the ship would not stir. Then they despatched one to Jotunheimr for the sorceress called Hyrrokin, who came riding on a wolf with twisted serpents by way of reins. Odin called for four Berserker to hold the horse, but they could not secure it till they had thrown it to the ground. Then Hyrrokin went to the stem of the ship, and set it afloat with a single touch, the vessel going so fast that fire sprang from the rollers, and the earth trembled. Then Thor was so angry that he took his hammer and wanted to cast it at the woman’s head, but the gods pleaded for her and appeased him. The body of Baldr being placed on the ship, Nanna, the daughter of Nep, Baldr’s wife, seeing it, died of a broken heart, so she was borne to the pile and thrown into the fire. Thor stood up and consecrated the pile with Mjolnir. A little dwarf, called Litur, ran before his feet, and Thor gave him a push, and threw him into the fire, and he was burnt. Many kinds of people came to this ceremony. With Odin came Frigga and the Valkyrie with his ravens. Frey drove in a car drawn by the boar, Gullinbursti or Slidrugtanni. Heimdall rode the horse Gulltopp, and Freyja drove her cats. There were also many of the forest-giants and mountain-giants there. On the pile Odin laid the gold ring called Draupnir, giving it the property that every ninth night it produces eight rings of equal weight. In the same pile was also consumed Baldr’s horse.”- Translation of the Prose Edda, Author Unknown.

When Hermodr came to speak with them in Helheimr, they gave gifts back to the Aesir as thanks and for remembrance.

'Then Herm0dr rode on till he came to Hel-gate; he dismounted from his steed and made his girths fast, mounted and pricked him with his spurs; and the steed leaped so hard over the gate that he came nowise near to it. Then Hermodr rode home to the hall and dismounted from his steed, went into the hall, and saw sitting there in the high-seat Baldr, his brother; and Hermodr tarried there overnight. At morn Hermodr prayed Hel that Baldr might ride home with him, and told her how great weeping was among the Aesir. But Hel said that in this wise it should be put to the test, whether Baldr were so all-beloved as had been said: 'If all things in the world, quick and dead, weep for him, then he shall go back to the Aesir; but he shall remain with Hel if any gainsay it or will not weep.' Then Hermodr arose; but Baldr led him out of the hall, and took the ring Draupnir and sent it to Odin for a remembrance. And Nanna sent Frigg a linen smock, and yet more gifts, and to Fulla a golden finger-ring”- Prose Edda.