Nanna is the wife of Baldr. She used to be a giantess, but is generally counted as one of the Aesir. Just like Skadi, she has been adopted as one of the gods when she married a god.
When her husband dies, she quickly joins him in Helheim. Some sources say she dies of pure agony. Others say that she has thrown herself on his pyre. Whatever the exact cause, she was likely quite unhappy.
She is mother to Forseti, whom she conceived with Baldr.