Really nothing in Nags Head on the beach. The best campgrounds are 20 miles away in Rodanthe. There you have Camp Hatteras which is mucho $$$ and my preference Ocean Waves campground which is nice quite, resonable $ but hard to get a site.
There are a few campgrounds on Roanoke Island (Manteo area) but these are not on the beach. Here is one that looks interesting Linkybut I have never personally stayed there.