I saw this coin at a recent show and just fell for the reverse. The reverse, to me, brings a lot of nice design elements and symbols together. And, who can’t love Capricorns as the topper. It was labelled as Valerian II from Antioch. After doing a little research, I believe it to be Gordian III from Nicaea, Bithynia. Please correct me if I am off there.
You are right that it is from Nicaea. When it says NIKAIEΩN (of Nicaea) on the reverse, that is a clue! We can't expect random dealers to be able to provide correct ancient-coin attributions. When we can attribute them ourselves, it is to our advantage.
ΝΙΚΑΕΩΝ (and other city names ending -ΩΝ) is actually the genitive (possessive) plural. This usage is referred to in the literature as the "city ethnic". The meaning is "of [the people of] Nicaea" or "of the Nicaeans". In English, meaning is determined by word order. In Greek and other inflected languages, meaning is determined primarily by the form of the words, usually endings attached to a root. Word order is secondary. When looking for the name of the issuing city on a Greek coin, look for -ΩΝ.
Good point on the correct interpretation of highly inflected languages. pay attention to the endings.