Is there a love meter to measure that? lol Kids can love more than one person. Nanny has probably just shown them stability like Mom so they go right to her. They are still little. Grandma might need to come over more, perhaps offer to babysit if she is nearby?
If they seem to love the nanny more, it's because she spends more time with them. Grandma needs to make a concerted effort to see them more often. All in all, they are still little and will probably relate to grandma more later. There is no limit on love, they can love many people but it's going to be based on time spent bonding.