Hi M. :-)
It sounds as if your son is experiencing some anxiety about "change" and "loss". He was sleeping happily in his own bed, in his own home, with his own nanny.. and then POOF! He wakes up one day and it's all gone! Not only is it gone, but he has to now spend the day in a new place, which is different than his new home which is different than all the things he thought were stable in his world.
I agree with the moms who say introduce him during the day to his new room. If he is in day care all week, then spend a lot of time during the weekends in there. You can "play" taking naps, or begin to encourage real ones in his bed.. does he have the same bed from the old home?
You might investigate children's books on "moving" and how to adapt. Establish a new "routine" as soon as you can to begin to reestablish his sense of normalcy and feeling that his world is under his control again.
You say he is scared to sleep in his room, but have not qualified that so I'm not sure what he is saying, but for the time being, I would allow him to be with you in this BIG transition. Being all alone in a NEW room in a NEW home without his nanny is a big bag full of changes, go slowly and I feel he will eventually feel safe and venture out, again.
Hugs,
A. R.N., Energy Medicine Practitioner