NCrunch uses Gallio for Xunit integration under the hood, and the integration between these frameworks currently doesn't support the identification of nested Xunit tests while using static analysis. To work around this, you can change the 'Framework utilisation type for Gallio/Xunit' under your solution settings to 'UseDynamicAnalysis', though note that this will likely have an impact on the processing speed of NCrunch.
The cause of this problem sits between the integration with Gallio and Xunit - it isn't actually part of NCrunch. Sadly this means that the most effective way to fix the problem would be to introduce an integration point directly between NCrunch and Xunit, which would require quite a bit of investment. I can't commit to fixing this in the short term, though as for the long term, we'll have to see :)