Take $U \subset \mathbb{R}$ be an open set. I want to show that there exists nested compact sets $C_1 \subset C_2 \subset \dots$ such that $\bigcup_{j=1}^{\infty} C_j = U$. I have a feeling that I need to resort to the fact that $U$ can be formed by an infinite union of open intervals $I_j$, i.e. $U = \bigcup_{j=1}^{\infty} I_j$. I have a feeling for each $i \in \mathbb{N}$, I can form nested compact sets
$$C_{i1} \subset C_{i2} \subset \dots$$
such that $\bigcup_{j=1}^{\infty} C_{ij} = I_i$. Then I can set
$$C_i = \bigcup_{j=1}^{\infty} C_{ji}.$$
However, I am not sure if an infinite union of compact sets can potentially be compact. Hence, I could use some help on moving through this problem. Potentially I can do something involving the infinite intersection of compact sets?
What you're worried about can happen. Consider the open set $(0, \infty)\setminus\mathbb{N}$. It can be written as a the countable union of disjoint open intervals:
$$(0, \infty)\setminus\mathbb{N} = \bigcup_{n =1}^{\infty}(n-1, n).$$
Each open interval can be written as a union of nested compact sets:
$$(n - 1, n) = \bigcup_{k = 1}^{\infty}\left[n - 1 + \frac{1}{k + 1}, n - \frac{1}{k + 1}\right].$$
So, in your notation, we have $C_{nk} = \left[n - 1 + \dfrac{1}{k + 1}, n - \dfrac{1}{k + 1}\right]$. Then we have
$$C_k = \bigcup_{n = 1}^{\infty}C_{nk} = \left[\frac{1}{k}, 1 - \frac{1}{k}\right] \cup \left[1 + \frac{1}{k}, 2 - \frac{1}{k}\right] \cup \left[2 + \frac{1}{k}, 3 - \frac{1}{k}\right] \cup \dots$$
which is unbounded and hence not compact.
One way to rectify this issue, both for this example and in general, is to instead take $C_k = C_{1k}\cup\dots\cup C_{kk}$ which is compact as it is a finite union of compact sets. I'll leave it to you to check that it is nested and the union of the $C_k$ is the open set you desire.