History
One of the 300 MAC Orbital Defense Platforms constructed by the UNSC and set in orbit around Earth. When the Apocalypso tumbled into real-space, being carried along in the wake of a freak Slipspace anomaly due to the activation of a mysterious Forerunner artifact, the anomaly intersected Nassau Station; creating a semi-stable "bubble" in the space/time continuum on its way back to the 21st Century.
For the time being Spartan-458 is trapped in the 21st century; guarding Nassau Station's secrets with all but lethal force (she realizes killing someone in the past could have dire consequences), waiting for the "bubble" to collapse and hopefully returning her to the year 2552. Due to the issues noted in the Spartan-458 article, Nassau Station and Spartan-458 are not considered canon in the Halo universe.
Name origination
Given the naming scheme of other MAC stations, Nassau Station was likely posted over Nassau, Bahamas.