Firstly, I am very sorry for your loss.
How you react can actually teach your children a very valuable lesson (you don't say how old they are). They will have to come across grief at some point, and I think it's important that children know it's fine to cry, it's fine to be sad, that you don't have to repress your feelings and 'pretend'.
That's not to say you have to be sobbing over them. But grief is a process, and to stifle it causes more problems.
It's fine (depending on age and understanding of your children) to say that "nanny's gone to heaven, and mummy is very sad about that, she may cry & need more cuddles than usual, but she still loves you". Then answer any questions they have - honestly - and within your comfort levels.
I don't have any experience with losing parents, my second DD was born sleeping last year, and DD1 has seen me cry a lot. She was 16 months, so didn't understand, but she will grow up knowing about her sister. It's the only way I can cope.
You are still in the very early stages, you're probably still in shock. It's fine to feel how you feel, there are no rights or wrongs. But don't be afraid to let your children see how you feel xx