Standard disclaimer. There's no "right" way. Here are my thoughts.
First and foremost, stay safe. Look for clues to a likely reaction. Listen for comments on gays, same-sex marriage. Does somebody's lip curl in disgust or a smile when 2 guys are holding hands?
There's a risk to coming out and being out. There's an honesty and freedom in being out. Weigh the risks and rewards.
Assuming your nephew decides to come out, how would he feel most comfortable and secure? On neutral ground, with support, one parent at a time? Since we're talking about absolute honesty here, the more relaxed it is, the better.
The more he understands about his own journey to this point, and can explain it, the more likelihood of acceptance. Parents who don't react well tend to act as if being gay is a mantle you can put on or take of, not an innate characteristic. They see a "change" in little Johnny, and not the same boy they've known all his life. When did he first start to wonder? Has he ever dated girls or kissed one? Has he ever wanted to? Did he notice when his classmates began to be interested in girls? How did he feel about that?
I live in Texas, where there's a good chance of encountering drama, hostility, or anger. But if I were 15 and gay today, I would hope for the courage to talk to my folks, to be honest with them, and to have an adult relationship with them.
If both parents were kinda close/cool, I'd talk to both at once. "You know, a lot of things have changed recently, but a lot of things haven't. I love you two; you've always provided for me, protected me, done what you thought was best for me. I really want to thank you. I'll always love you, and I always want to be able to be honest with you. When I was five...; when I was 11 and went into middle school, I saw the older kids starting to notice each other. I saw my classmates start to notice. My friends started to talk about girls. I started to expect it to happen to me, but it never did."
But that's me.
If your nephew knows you're gay, why don't you let him read this thread? I'm sure there will be some thoughtful responses.
edited to add:
Since I started writing this, sure enough, James posted his thoughts. Beautifully.