Oh yeah, I almost forgot that particular discussion, I wonder if that means Nazh knows these "rites" and if he does, then did he ever perform them? Is he immortal? Many of the Worldhoppers are and this could be the source of his immortality. Could be that these rites are requirement to be able to handle Shades and thats how he had a gun that could apparently fire Shades. This could also be why Khriss sends him on so many weird and dangerous missions, those tasks might be easier for him as a... Cognitive Shadow, I suppose.
I like Benkinsky's speculation. I'd imagined that he was involved in some attack by Shades and ended up in the Cognitive Realm via the "morbid", "unstable" Perpendicularity forming from the attacks. But iirc, you cannot accidentally travel through Perpendicularities, you need to know what you're doing and you need to intend to do it. He could then have been introduced to the broader Cosmere by a wandering Worldhopper. Shame, it would've been a classic. Of course there's also the fact that Nazh might be older than the Shades on the continent of the Forests of Hell. From what we know, it is a business relationship. But Khriss does seem to drop him into difficult places, could also be that Nazh is just curmudgeonly and likes to complain, I guess. Assuming Khriss is really dropping him into difficult situations, could be he feels really grateful to her for saving him or introducing him to the broader Cosmere, could also be an mentor-apprenticeship kinda relationship and she's just trying to prepare him for field research, maybe her pay's really good or maybe he's just simping. I hope it's not the last one.
He is loyal to her, seems to be quite fond of her, didn't really react to being called her manservant, has been left stranded in inconvenient places but he still gets his job done and despite his complaints seems to genuinely enjoy what he does. This is all we really know of their relationship and it's hard to narrow it down further with what we know so far.