Actually, niña means "girl" in Spanish, not nena. Nena ("NAY-nah") is a Spanish slang word used as an affectionate term of endearment, usually from boyfriend to girlfriend, equivalent to "sweetheart" or "baby" in English. You won't find it in the dictionary. The masculine form is nene ("NAY-nay"). Parents also call their daughters/sons "nena"/"nene".
Nena was the stage name of the German singer famous for 99 Luftballons [which was translated into English under the title 99 Red Balloons]. The nickname was a variation of the Spanish word niña, used to refer to little girls, which she obtained when she was three when she went on vacation to Spain.
According to Aztec mythology, Nena was an incarnation of the star Goddess Citlalinicue and became a first woman on Earth (along with Natu or Tenu). Relatively frequent name in Latin America, with the attributes of grace and gracefulness.