Do questions like "what's the nature of..." make sense to begin with?
One of the well-documented questions from ancient philosophy includes “What is the nature of the world?”, to which answers such as “water”, “air”, “earth”, “fire”--or combinations thereof--are offered.
Afterwards, Enlightenment-era philosophers discussed questions such as “What is the nature of reality?”, “What is the nature of the mind?” and “Does physical reality and the conscious mind share the same nature?”.
But, after all, are there any satisfactory answers to any of these questions? An answer to such a question can take one of these forms:
(i) Explanation in terms of something simpler or more fundamental.
For example, all the phenomena in Thermodynamics can be explained in terms of atomic “jiggling” and the movement of molecules. That is to say, the nature of heat and thermodynamics is inherently a kinetic phenomenon.
(ii) Circular explanations. If an explanation is not given in terms of something simpler, it is given in terms of something else that also must be explained.
As Feynman famously noted in a 1983 BBC interview, if one explains the behavior of an electromagnet (as it attracts metal) through some kind of “rubber band” analogy, it only exercises circular reasoning. Making use of such explanation only begs the question “what's the nature of the rubber band”, which indeed is an electromagnetic phenomenon.
Namely, if concept A is explained by concept B and concept B is explained by concept C; having concept C be explained by concept A is just circular reasoning.
(iii) Accepting things as they are (brute fact). Note that, if we don't accept approach (ii), and thus we are required to follow explanations through more fundamental levels, as posed by approach (i), one arrives at questions such as “What's the nature of the electron?”, “What's the nature of electromagnetic fields?”.
Now, science and mathematics can describe the behavior of these quantities and lay out the most probable outcomes for well-defined scenarios, to a great degree of empirically verified accuracy. The metaphysical question, though, “What's the nature of...” is a distinct question, which isn't in the domain of science.
At some point, thus, if we require ourselves to pose explanations in terms of more fundamental concepts, we must accept that this is simply how reality is. The “electron” is like this, behaves like this, is tied to such and such phenomena, but the question of its “nature” is unanswerable due to the very formulation of the question.
Fundamental enough concepts can't be broken down in terms of anything simpler. They can be described in relation to other phenomena, described mathematically to a great degree of accuracy, but at some point, that's just how we observe Nature itself to behave.