I have some very fond memories of my iPods Nano (is that really how we have to say it?). Farewell, old friend.
I can't imagine why. Most formally it would be "iPod Nano devices", but most people would say "iPod Nanos".
You only pluralize the words that there are actually multiple of. You may talk about a Member of Parliament, but you wouldn't have Member of Parliaments because you're not talking about multiple Parliaments. You're talking about multiple members and a singular Parliament, so it's Members of Parliament. Your city has a Chamber of Commerce, but your state has many Chambers of Commerce.
But with the iPod Nano, it's not multiple iPods and a singular Nano. It's multiple "iPod Nano" devices. So you'd just say "iPod Nanos".
Your premise is false because your examples ("Member of Parliament") are using a preposition. iPod Nano doesn't include a preposition... just a noun or an adjective. The only reason your examples work is because the noun is still being pluralized and the preposition stays the same. The object of the preposition is not the main noun in the sentence or term so it doesn't make sense to pluralize it.
I've owned two Corolla cars in my life. It doesn't make sense for me to say "I've owned two Toyotas Corolla", does it? If I cloned this site, would I say "there are two Hackers News"?
Or you can end the ridiculous destruction of the English language and realize that "Nano" isn't really an adjective in this case, but rather "iPod Nano" is the entire noun and is pluralized as such. "Red iPods" has a noun and an adjective and the noun is pluralized. If you dropped the word "iPod" from the statement you'd still have a valid sentence "I have two Nano..." what? "Two Nanos", or "Two Nano", since Nano is an adjective and can't be pluralized?
You asked "is that really how we have to say it?" and the answer is no. That is decidedly not how you have to say it. It may be how you choose to say it, but you don't have to, and most people would find it very odd phrasing indeed. If you ask Apple, brand names cannot be pluralized, so their recommendation is "iPod Nano mobile digital devices": https://www.apple.com/legal/intellectual-property/trademark/...
I do want to point out that no matter what Burger King says, The Onion has an article specifically mocking that line of thinking: http://www.theonion.com/article/william-safire-orders-two-wh...
Mocking rules of grammar doesn't make them incorrect. It is a weird rule, but it is the proper way to write and speak the language.