These were two heroic martyrs beheaded at Milan under the Emperor Nero. This was one year after the martyrdom of Saint Peter and Saint Paul. The mother of Saint Nazarius was Saint Perpetua, a spiritual daughter of Saint Peter. The bodies of Saint Nazarius and Saint Celsus were discovered at Milan by the great Saint Ambrose, bishop of that city, in 395, two years before he died. Beside the body of Saint Nazarius was a phial of his blood, as fresh as when he was alive.
Nazarius, Gervase, Protase, and Celsius of Mediolanum (Milan), from the Menologion of Basil II (source)
