Kaye announced the sad news on the pair's joint Instagram account, in a video explaining why the TV duo have been quieter than usual.
Talking to their 58.2k followers, Kaye said: 'Hi everyone, I just wanted to explain why we've gone a little quiet of late.
'Sadly Nadia's family have lost Nanny Thelma, which has been very difficult and very painful for them.'
The 54-year-old continued to reveal that she also is facing a difficult time, as her mum is facing a 'health setback'.
'My old mum has had a bit of a health setback, so I have been focusing on that. And it's just life, I guess,' she added.
'You try and keep all the plates spinning but there come times when you've just got to batten down the hatches and focus on what is really, really important. I'm sure a lot of you will relate to that.'
The panellist also wrote in the video's caption: 'A little update on why things have gone a little quiet... As always, we so appreciate all the support you give. It truly means the world and we'll be back soon.'
Fans of the pair were quick to offer their support during this difficult time, writing on the comments section to share their condolences.
One wrote: 'Thinking of you at this sad time Nadia and family, sending lots of love and hugs to you both xx'
A second said: 'I'm so sorry to hear about Nanny Thelma😢, thoughts are you with your family Nadia, and I hope your mum gets better Kaye❤️❤️'
Another commented: 'All my love and big hugs to you both and your family. I'll be thinking of you at this very sad time. Xxxx😘😢'
[/twitter]Thelma was 95-years-old, and even though she was her husband's grandmother, Nadia previously said she made her her nanny too.
Writing ahead of her 90th birthday celebrations in 2013, Nadia made it clear how much she admired nanny Thelma: 'She was in the armed forces as a teenager, having pretended she was older than she was, so determined was she to serve her country.
'Then she nursed her beloved and very poorly husband for decades while holding down a job and bringing up her three children,' she wrote at the time in an article on The Mirror.
'After she retired, it was just weeks before she'd "had enough of doing b***** all" and found herself another job from which every penny she earned was put away for Mark (yes, she's Mark's nan really but I've made her mine, too!), so he could go through university with no financial worries.'