The reason some insurance programs don't cover Nexium is the availability of PrilosecOTC (and generic Omeprazole), which is similar to Nexium. The same is true of medications like Clarinex, which is similar to Claritin - now a generic.
Unfortunately, Nexium works better than Prilosec for some people, and the prescription dose of Nexium is quite a bit stronger than the OTC dose of Prilosec. The trade off is the cost. A 30-day supply of Nexium costs $175 while a 30-day supply of generic Omeprazole costs about $20.
If you haven't tried PrilosecOTC you should talk to your doctor about trying it first to see if it works for you, or see if the doctor can convince the insurance company to cover the Nexium.