If you're using Mono for web hosting then don't use Mono's FastCGI implementation. It's incredibly slow from what I've seen. Instead, use something like evhttp-sharp which has a wrapper for Nancy. Just to give you an idea look at nancy using evhttp ("nancy-libevent2" in the benchmark) vs FastCgi ("nancy" in the benchmark) at http://www.techempower.com/benchmarks/#section=data-r8&hw=i7...
I've tried to contact the folks who are maintaining FastCgi on Mono but the email I sent last week bounced. When you use evhttp though, (at least with C#) there's not a huge performance difference than when using it in Windows.