When is Nalia supposed to start the romance? I've had in the party since I got out of Irencus's Dungeon, and she hasn't said a darn thing to me yet. I have been doing a lot of city quests right now, and I haven't been to her keep yet. Do I have to finish her quest before the romance starts?

I haven't played it but the logical side of me suggests you'd have to do her keep quest before she starts to fancy the pants off you.

Was there supposed to be a romance between the PC and Nalia? Please, tell me more.

Only if you get the mod. No, the Nalia romance is not part of the original game. There is also an Imoen Romance, and several other character mods that allow additional romances, provided that you are of the correct gender.