I'm sorry OP. This is really hard. As one of the other posters suggested, could you have a few days where it's the both of you so your child feels more comfortable with the nanny?
Also, could your nanny take your baby out of the house first thing so that your baby isn't watching you go upstairs? I realize this doesn't work on a rainy day like today.
Babies also understand more than we give them credit for. When it's time to go upstairs, give your baby a big hug and say "It's my work time right now. I'll miss you so much, but I'll be back downstairs for lunch, or I'll see you at nap, or whatever it is.
Lastly, I would do my best to create a routine and stick to it, to set your baby's expectations. Babies learn super fast, and consistency will help them learn more quickly. I don't think it would be good to constantly be checking on baby when she cries, or I think it'll reinforce that behavior.