A nano cap is a company with relatively tiny market capitalization, generally below $50 million.
Where micro cap companies might lie in the area of the market map labeled, "Here be dragons," nano cap companies aren't even on the map. These are the tiniest of the tiny, usually penny stocks, and extremely risky to invest in. The companies are usually just starting out, probably have no business being public, and are often used in pump and dump scams.
Investing in such tiny companies, almost always traded on the pink sheets where anything goes, is dangerous to your health and pocketbook. Many companies operate on hopes and dreams, without a real product or revenue, to say nothing of net income. Having been sufficiently warned, though, some investors do play in this space.
Even more so than with micro caps, a thorough understanding of the company, its prospects, plans, and strategy are necessary for successful investing. Do not pay attention to the hype many of these companies have. If they issue a press release for having opened the door between the boss and secretary (or other frivolous reasons), run away. However, because information is usually so scarce -- these companies rarely file SEC documentation like the 10-Q or 10-K -- gaining enough information to make an informed investing decision is difficult.