Just asked my daughter and she mentioned theres a lock on the top, but by the sound of it, youve already tried that - I'm Not sure if this is any use to you, but I found this on Apple news - if you havnt already done so maybe this would do it ?
It has a screen lock, which lets you lock your iPod, but if you forget your combination, just dock it with your iTunes and it will automatcially unlock it so you�re left not stranded with a locked iPod Nano because you forgot your lock combination.