she said that her DIL's baby shower is going to be next weekend. She says that they wanted to have it while we were in Orlando!
With ONE week's notice they are springing this? When they know you'll be there in July, which is a WAY more normal time for a shower for a baby due in September?
I personally don't think this was planned for you... I think they had some other reason, and they are just saying this. I mean, it makes no sense.
That said, I'd probably show up. I do have family in Orlando, and if my cousin had another baby and had a shower during our vacation, I'd probably go...I certainly wouldn't go otherwise! (WA state to FL for a shower? nope)
But...with such a weird relationship between your nephew and his significant other (ex-wife he's still seeing?), honestly, with my background with friends and estranged girlfriends, I'd be wondering if it was actually the nephew's baby and I'd start backing away from the situation again.
Is it because we are the ones that moved away?
As one who moved away...YES.
I hate showers. Gift grabs...
FWIW, a "shower" is all about "showering the family with love and gifts". So it's not an insult to call a shower a "gift grab". The whole point of the occasion is to shower them with gifts (and love).
Once I realized that I was much less hostile to showers and it made my life a wee bit better.

(before then, ugh, hated 'em)
...but it is our 1st vacation, and we've been married nearly 17 years.
This goes on the list of "things that needed to be included in the very FIRST post of the thread"!