She settled at Driffield Gloucestershire, the home of her sister Anne, wife of George Hanger, also a member of the Levant Company.
A Discourse concerning a Judge of Controversy in matters of Religion, published in 1686, upon the Roman Catholic side of the question, is ascribed to her, and in the next year Nelson wrote against transubstantiation.
He lived for a time at Florence, and corresponded with John Drummond, 1st Earl of Melfort, James II's envoy to the Pope.
Through Kettlewell he came to know George Hickes, and he was soon in close communication with all the nonjuring circle: Henry Dodwell, Jeremy Collier, Charles Leslie, Francis Brokesby, and others.
He was active in the movement for establishing charity schools, originally begun by Archbishop Thomas Tenison in the time of James II, and carried on with great success during the reign of Queen Anne.
Nelson, with Dodwell and Brokesby, left the nonjurors on the death of William Lloyd, the last of the deprived bishops except Thomas Ken.
He did not join, however, in the prayers for the royal family, and in 1713 he helped to prepare for the press the Jacobite treatise of George Harbin on Hereditary Right.
He died at Kensington in the house of his cousin, Delicia, then Mrs. Wolf, daughter of Sir Gabriel Roberts, on 16 January 1715.
Nelson became known during the reign of Queen Anne for his religious writings, some of which were circulated by the Society for Promoting Christian Knowledge.