She might be called "Lady Nym" but she is actually one of Oberyn's bastard children, correct? Considering how much worth most characters in the series place on bastards, I doubt anyone would see her as a real bargaining chip. Of course, considering how much Arianne loves the Sand Snakes, Doran might go out of his way to save her, but we can't be certain.

The Martells and Dornish in general get on my nerves with their superiority complex and attitudes, but the one appealing thing about them is how they stand out from the other families portrayed in the series in their interactions. Doran and Ellaria seem to have a better relationship than most lords would with their brothers' wives, and she in turn seems to be on reasonably good terms with her "step" daughters, and all of them treat each other like real sisters and cousins. Their relationships seem to be the most genuine family dynamic portrayed thus far. I think that most people in King's Landing might not realize what good hostages they have in Nym & Tyene, whereas most people who took Tyrion Lannister might think they had a much better hostage against Tywin & co than they really did. It's hard to say if Doran is really as cool a customer as he seems to be suggesting in his talks with Arianne and the Sand Snakes, and really would try to play chicken with someone taking his bastard niece hostage, as we know for a certainty Tywin would not even bother to do with Joy Hill, while we can be fairly sure that if Ben or Brandon had a bastard daughter thus threatened, Ned would fold like a cheap card table.