As the board's resident Portuguese speaker and former resident of Brazil I shall cease my lurking put in my 2 bits.
It is pronounced neh-neh, like in spanish and means baby as well. Brazilians often have nicknames that we would consider Panzy-ish. Barbosa is nicknamed Leandrinho, which means "Little Leandro" One of the great soccer players from the early 90's was named "Careca" which means bald. The story is that he had the nickname since he was a baby.
Most big brazilian sports stars go by their nickname alone. Just like Pele. Part of it is the fact that so many of them have similar names. It seems 1/4 of the country has the last name "da Silva."