Being Shinigami Lieutenants, they have zanpakutos but both of them are rarely, if ever seen with them. Both Nemu and Nanao have Zanpakuto as can be seen in this drawing, which Kubo drew for the All Colour By the Black artbook. Nanao's resembles a purple wakizashi/tanto, while Nemu's looks like a thin bladed green-hilt wrap katana.