Really don't think this is a problem I've always been known as Grandma X and so has my counterpart. Never bothered either of us.
If it's such a problem for you I would just call her Nanny X and maybe this will make her have a rethink about how she refers to you. I would definitely not correct the children, it's not fair to confuse them or involve them in this ill will.
A heat warning, if one were even needed.
I hope the new PM is kind to Larry the Cat



