I'd say he should go and run to the Nexus to save Malygos.

At one point, while Malygos tries to contact him, Nel clearly understands that Malygos is slowly fading away. Almost panicking, Nel leaves Pandaria as fast as he can (especially now that the mists are lifted) and heads to Northrend to the Nexus to check on Malygos.

Once there, Nel realizes that there's not much time, and tries to convince Kalecgos to help him get Anduin to the Nexus to help in transfering Malygos' spirit back into his body and bring him back to life.

Then, i dunno, but things can go 2 ways, IMO:
- Kalecgos refuses to bring Anduin, saying that simply it's not right to play with life like that and thus lets Malygos completely fade away.
- Kalecgos accepts, Anduin arrives, they save Malygos, and Nel's happy for some more time before having to confront the Sha or the Celestials.