Nassau is a city in Lac qui Parle County, Minnesota, United States. The population was 72 at the 2010 census. A post office called Nassau w…Nassau is a city in Lac qui Parle County, Minnesota, United States. The population was 72 at the 2010 census. A post office called Nassau was established in 1888, and remained in operation until it was discontinued in 1998. Nassau was platted in 1893.