Why is Nelson such an annoyance?

If you are annoyed that you need to defend, and want a nice dynamic attacking game instead, you can try to grab the initiative with the Kiddie countergambit, sacking a pawn.
Now it's black who has the initiative. Next you should castle, then open the center and attack the white king.
Nelson is very bad at defending, so he usually collapses fast.

well g6 boots the queen but it'll slide back like this
Just bring out your king-side Knight and Nelson's Queen is cut off from the mating square. After that, you can harass his Queen with your Queen-side Knight, forcing it to move and you might be able to win his e4 pawn, but focus on getting yourself castled quickly (putting your Bishop on g7 is good). Nelson often neglects to castle, so if you get your King safely castled, then just try and strip out the centre pawns and have at him.
Here's a game of mine where Nelson started out the same way you posted, which is based upon the above general ideas just in case it helps to make sense of them (I've left his trash talk in the comments ):
