A woman has promised to have her nephew murder me when he is released from prison. Is there anything that I can do about her threat?

You should report this to the police immediately.  It's possible that she can be charged with a crime for this, if you have some proof of the threat other than your own testimony, such as a saved voicemail or email, or an independent witness who is willing to testify.

There isn't any guarantee that you'll be able to press charges, or that the police and prosecutor will do that for you.  But there's probably a good chance that the police will at least talk to her, and make her understand that if anything unfortunate happens to her, under even slightly suspicious circumstances, they will put her and her nephew at the top of the suspect list.  Unless the woman is unbalanced, that should be enough to deter her.