Hi, where else would it be connected?
Just look at a pinout picture. The first number listed moving away from the board (in grey rhombus like thing) is the actual ATmega chip pin number.
@srnet is right, it's better to look at the Schematics. Rereading your question made me realize, that you asked if they are connected directly. Basically yes, with a few exceptions.
The processor has 32 pins is correct, but some are not all GPIO, some are used by the power pins etc. And not all GPIOs are available on the Nano pins (Oscillator for instnce).
And some of the 30 Nano pins are not GPIOS either ..........