Seems like the response from Nexus when downloading a hosted PyPI artifact doesn't include an etag or expires header. This prevents pip from caching the artifact. I see Maven handles this better by synthesizing an etag on upload if none is set: MavenFacetUtils.java
You can see here for how pip handles the caching, and why an etag or expires header is desirable.
The response looks like:
HTTP/1.1 200 OK
Date: Mon, 02 Oct 2017 16:49:10 GMT
Server: Nexus/3.5.0-02 (OSS)
Last-Modified: Mon, 25 Sep 2017 22:13:17 GMT