Being nervous is not necessarily about being fearful or anxious, it is a natural reaction to a new situation. For your puppy, bathing is going to be new. Previous bathing involved mom licking him, and mom was great--her tongue was warm, and being bathed by mom was not something to be nervous about at all.
Fast forward to his new home. There are so many adjustments: new people, new things, new places. It is natural for a puppy to act a bit nervous, and when it comes to bath time with water and an unfamiliar tub, a little nervousness is to be expected. You can help your puppy overcome being nervous about his first bath (or maybe it's his second or third, depending on how messy your little housemate is) by working slowly and gently, reassuring your nervous pup and making bath time as simple as possible. It may help to use a cloth that feels like mom's tongue instead of a handheld shower that feels like, well, nothing he has ever experienced before, unless your nervous puppy has been stuck outside in a monsoon!
A tired puppy may be less nervous, so exercise can help. So can a litter mate who can act as moral support! Be considerate of your puppy's cautious behavior and let him move at his own pace while you introduce bathing. Toys and treats can also help distract and comfort a nervous puppy. Remember puppies chill easily so don't let your puppy get cold during the bath. Keep it as short as possible, use warm water, and dry your puppy off somewhere warm.