"About a month ago, I joined the international legion here in Ukraine," he told the channel during a broadcast from a "secure location in western Ukraine".
He said he had spent "quite a bit of time" in Ukraine prior to the conflict, and called the "legion" a multinational force consisting of thousands of men and women.
Nance, executive director of the Terror Asymmetrics Project, served in the US navy for 20 years.
Russian Defence Ministry spokesman Igor Konashenkov has said that Ukrainian authorities have recruited almost 7,000 mercenaries from 63 countries to fight in the conflict. Most mercenaries are based in Kiev, Kharkov, Odessa, Nikolaev, and Mariupol, according to the Russian military.
Konashenkov said that mercenaries fighting in Ukraine cannot be considered combatants and will face long prison terms at best. He noted that under international humanitarian law, they do not have the status of combatant, and are not eligible for the status of prisoner of war.