since ds and the nanny are so close, I really think you should signpost this change in his life and let him know beforehand ('Nanny's leaving us today, she has to go back to her own mummy and daddy'), so he can say goodbye to her properly.
I'd tell the nanny you are going to do this, and ensure she is nice and positive and up about it, too.
It'll help him get his head around it properly, surely? Rather than her just disappearing, and him having to ask you where she has gone before he finds out? That has the potential to be much more upsetting, I'd have thought.
Also he will look to you and the nanny for clues as to how to behave, and the more confident you and she are about it, the easier he will find it to adjust.
He's tiny, he will adjust easily, but best to be honest about this sort of thing imo