There are only a few adjectives (scared, afraid being two of the most common) referring to a mental state where if the actual cause / target of that state is also present, we almost always link the two using of.
As this NGram suggests, the sense of nervous under consideration here has only really become widespread in the past century, but it's worth looking at this NGram showing how people have increasingly shied away from1 using the preposition of with the near-symonymous adjectival usage I was shy of him, over that same time period.
Usage obviously changes over time, but I'd say the current position is that people would "like" (usually, unconsciously) to standardise on a single preposition to cover as many use cases as possible. And the leading contender here is about - which is still only gradually replacing of after scared, and hasn't gained much traction at all after afraid. But it has become the most likely choice after nervous, partly because there weren't so many prior instances holding back our natural tendency to move towards standardisation.
In OP's exact context, nervous about X is definitely already more common than nervous of X, and this preference will only become stronger over time. As of right now, of is still perfectly acceptable - but if you're looking to the future, you'll be better off getting used to about right from the start.
I'd just like to flag up a fine point regarding the ongoing "transitional" status of about in relation to scared (the "new" preposition use hasn't yet had much impact on afraid). Currently, the "standard" form is I was scared of him - where the "object" is a person, or at least something "tangible".
It's not (yet) very idiomatic to say I was scared about him, but already it's not uncommon to encounter I was scared about meeting him - where the object is a more "abstract" concept. That's just an example of how newly emerging "standardised" usages gradually gain traction in specific sub-areas of the syntactic territory they'll probably eventually colonise completely.
1 to shy away from = to avoid, to steer clear of, to keep away from