I recently naturalized as a US citizen and I had a hell of a time identifying exactly which steps I needed to take to get my Nexus card updated to reflect my new citizenship status. Thanks to a tip from Adam Harvey while socializing at PyCascades in Vancouver, though, I believe I have it sorted.
My goal, which is probably pretty normal for US/Canadian dual citizens, is to have both my Canadian and US passports associated with my Nexus card. I want to enter Canada as a Canadian -- it matters to me, which is a surprise, but ... -- but to have smooth entry into the USA as well, as a US citizen.
Here's what I did:
I stopped at the US Nexus office at Blaine, and just walked up to ask them to update my documentation. That was done more or less on the spot (it took maybe 5 minutes). I needed my Nexus card, my US passport, and my state driver's license. I assume that any US Nexus enrollment office would serve the same purpose.
I was instructed to request a new card from the Nexus site that would be updated showing my US citizenship. That cost $25, required no additional documentation, and was approved very quickly.
I called the regional Canadian Nexus office, in my case one in Surrey BC, and asked them to update my docs. They asked me to email them scans of my US passport, the back of my Nexus card, and my naturalization certificate.
And that's it!