I noticed the same thing also. And my usage pattern is similar to yours. Namely, I use the iPod nano as a radio and I often turn the volume to max and connect it to a desktop headphone amplifier.
The battery doesn't last more than a few hours when used in this way with some time also spent listening to loaded songs from iTunes.
I took the unit to a Genius Bar and was advised to test using the earpods, starting from a full charge, leave it running overnight at 50-60% volume, and observe how much charge is left the next morning.
I found that the iPod is capable of achieving the claimed 30-hour battery run time this way, give or take an hour or two.
The major battery draw is the radio, running at max volume, and using the display a lot. Also when in "PAUSED" mode, it drains the battery faster than when it is in "SLEEP" mode, even though in both cases music isn't playing and the display is off, "PAUSED" mode still draws some power. Hold the SLEEP button and turn the thing off when not in use. It will wake up where it left off so you don't have to start off from scratch from your playlist again.
This is different behavior than my previous iPod's, including the 1st Gen nano, the 4th gen nano, 2nd gen iPod touch, iPod mini etc. They all didn't draw much power when in "Paused" mode so I didn't really have to deliberately turn them completely off.