No, he didn't use a sig. Jeremiah gave him a revolver and although the cameras showed a pistol when Nick entered the room in the final scene, he was holding a revolver that his mother took from him and told him to disappear. To me it looked like a stainless Bisley Vaquero.
You might have better luck on a walking dead forum. I saw the scene and it was pretty much impossible to make out any details of the gun, if I remember correctly. Maybe someone with insight of the show would know.
If the gun was shown earlier in the show I don't remember. If there is a clear shot of it I'm sure someone here would be able to identify it if you post a picture