I have an Ipod nano and I put my playlist on coverflow. So when I turn it off and then turn it on, it's on the same song and still on coverflow....Even with the pause symbol at the top. It should work with your nano 5g. I really wouldn't know becuase I don't have a 5g lol.
Anyway, I've never had problems with this. Here's what I do: I put the music on pause, then click and hold the Play/Pause button, which puts the unit to sleep in a few seconds. A side benefit is that it preserves the current playlist, current song, and current position within that song. Press any button to wake it up, and it'll be paused at the point where you left off.
My 2nd gen nano (which I no longer have) also operated this way. I can only assume that Gens 3 and 4 did this as well. I have not played enough with the 6th gen to determine how it handles this.