I'm nervous about my exams.
I'm nervous about travelling abroad alone.
The usual preposition to go with 'nervous' is 'about'. The only time it's followed by with is in a sentence such as:
'I'm nervous with strangers.'
which is a contracted form of 'I'm nervous when I'm with strangers'. In this case the 'with' is part of the following clause, rather than connected to the adjective.