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You can always ask but based on my experience only going to swap up or down sizes. You may have to exchange the whole kit.

But never hurts to ask.
 
People have reported limited in store success at exchanging just the band for watches purchased directly from apple (in store or online). However, I haven’t seen a report from anyone who attempted this with a nike band. If you purchased the watch directly from apple then I think your best bet is to go into a store and hope you get a nice person who is willing to make the exchange. However, I feel like your chances are lower given that it is a nike watch that wouldn’t normally be available with a non-nike band.

If you’re near an Apple store then it might not hurt to stop by and ask. If you have to drive 2 hours to get to one then I’m not sure your chances are high enough to make the drive.
 
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You can effectively exchange a Nike sport band for a Nike sport loop, in an Apple store, provided it is within the 14 day return period.
The way this is done is:
1) the entire watch plus band is returned and credited, then
2) the same watch (i.e. the same serial number) is immediately repurchased with a different band (i.e the Nike sport loop).

I did this. However I cannot guarantee it will work for you too.
It is very doubtful you can exchange for a non-Nike band, as you cannot purchase Item 2) as a combination of Nike watch plus non-Nike band, as this is not a valid combo to purchase in the first place. However you might get lucky, maybe they have some workaround.
 
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