Why the virtual disk created for NANO is in VHD format.

Then it should be Generation one machine and IDE controller should be used in Hyper-v?

No way for now for VHDX?

from instructions we can get VHD:

https://technet.microsoft.com/en-us/library/mt126167.aspx?f=255&MSPPError=-21472173

Of course you can also create a VHDX file, which would be the better option of course. You can use the same tool as for the VHD, just replace VHDformat VHD to VHDformat VHDX.