I was on the same situation. Don't know if there is an easier method but I had to send the PRXY from my Nano S to the metamask wallet first. Then proceed with the swap as per their instructions.
Give it a try with a small amount of tokens first.
Metamask wont let you send tokens back to your nano directly, you need to go to MEW and open your wallet with metamask to do it. At first it didn't work, so I also had to set the gas to 150000 instead of the default 21000, but it was still cheap as I set the GWEI down to 1 and it worked well.
And make sure you send a bit of ETH to the metamask wallet to cover the transaction fees...