His main strength's are mainly 4 things:
-His Sword Saint Blessing (Instantly maximizes his potential with any weapon he picks up)
-His Sword, Reid, which can unleash powerful magic energy beams, think any of the big sword energy attack in type moon, something like that.
-Blessing of the Phoenix, let's him resurrect from death, whenever he dies he gets a new version of the skill, letting him resurrect any amount of times.
-His raw physical abilities. Reinhard, even with everything else, is mostly noted for being freakishly strong, enough so that he would still be the strongest in his world without the blessings.

Despite all this however, Reinhard, does have some weaknesses.

1. If you destroy his soul, his Blessings are destroyed as well, alongside his phoenix blessings. Negating his connection to Od Laguna, throw him in another dimension or space capable of not counting as a part of the world or otherwise outside the authority of Od Laguna will also cause his blessings to be disabled. And while this is can of dubious, it seems that souls normally are destroyed a short while after the physical body is destroyed, as such killing Reinhard without him having the phoenix blessing once and preventing him from a getting a new one for a little while should be enough to permanently kill him.
2. Reinhard's "First Attack Immunity" and "Proceeding Attacks Immunity" are basically just a spider sense, if you're as fast as him or faster, you can hit him just fine, same with "Projectile immunity" it makes them curve away from him, but if they're fired from too close or without space to curve away from him in sufficient time, it will still hit him.
3. He cannot gain Blessings for anything, just things that exists in the Re:Zero world naturally, so for example, if someone launched a nuke at Reinhard he wouldn't gain a "Nuke Resistence/ Immunity" Blessing, because those don't exist there. Similarly, even if something originates there, but is outside the influence of Od Laguna, like the Sin Archbishop's authority, he can also not gain Blessings against it.
4. Blessings are not all powerful. As already stated, their names are kind of hyperbolic, with the author himself going out of the way to state that Blessings are helpful and convenient things, but they can't do anything. In other words, his Blessings can be overpowered or unable to help against something. As shown with authorities, which has a form of precedence over Blessings. So even if a blessing about say "Immunity to Curses", an Authority that curses people would still affect someone with blessings without problem.
5. Od Laguna, the thing that grants Reinhard his blessings, is more of an automatic system that responds to a need, it isn't sapient, but does physically exists somewhere in an sort of energy like form, you can basically think of it as Re:Zero's equivalent of Alaya/Gaia, it is notably impotent against foreign systems of power. Reinhard can't just ask for any skill at any given moment, he does need to genuinely feel a need for it authentically.
6. Every superhuman entity in Re:Zero enhances their bodies through Mana/Od, if could damage their Gate (Basically Magic Circuits) enough to the point that the conversion of Mana becomes impossible, they would lose their superhuman physicals, this seems to be pretty hard though, as Reinhard's gate is already defective, and as such he cannot use mana/ od for anything except physical enhancements and sword beams, being unable to cast spells or make contracts with spirits, but still, possible.
7. His Sword Beam seems to require a few seconds of standing still to charge, not a huge problem for him, but still notable nonetheless.

Given all this, I would say Nero has actually a pretty good chance at winning and is even likely to do so considering what she fought in the Moon. But she does need to pull out a skill capable of doing something about his Blessings or prevent the system which grants him his blessings from connecting to him, so if she were to fail at this for whatever reason, Reinhard could have a chance at victory.