My friends' kids are intrigued by my lack of hair - Sam once asked "Why have you got a naked head?" which I thought was lovely.
I suspect your nephew is unused to seeing anyone he knows with little or no hair, therefore you are widening his experience. You could choose to wear a hat in front of him, you could decide not to shave for a few days before your next visit, but neither of those are you-being-you. He'll very quickly get used to you with a shaved head if you spend any amount of time with him.
At the other end of the scale, I have to take my hat off (even in the middle of winter) when I visit another household as the kids (and the dog!) don't like men in hats! It's hard work being bald and interesting!