Upvote:2
From the perspective of legal requirements, you will not need to collect your bags anywhere before Nuremberg. The US does not require you to collect bags when departing the country (only when entering), and Europe does not require you to collect them except for at your final destination with very few exceptions (and this is certainly not one).
I am presuming that your flights were all booked on a single ticket (United connecting to Lufthansa I'd presume). If they were not, then the conditions of the airlines might override the legalities and you may need to collect them, but as you haven't stated the airlines involved of whether the flights were purchased as one ticket or multiple it's impossible to say.
(FWIW, I flew a very similar route to Nuremberg in December)