I have the same setup on a 09 TT. Just bought the car and it has the ipod connector in the glove box with a bunch of plastic adapters.
I've tried my iphone in there, and it sorta works, but the phone needs to be pushed all the way and it easily loses connection, I'm guessing because of the iphone rubber case. I'm not using my ipod nano (6g) in the car, which works fine, but none of the adapters work.
Haven't been to the dealer, but I've checked audi's website which lists all the adapters and ipod/iphone versions, and it says that iphone 4 is not mechanically compatibile (wtf?! it worked fine!?) and there is no mention of nano 6th generation.
Anyways, I figured it would be easiest to just buy an extension cable (ipod to ipod connector, otherwise known as dock extension cable, not the USB cable) and I'll report as soon as I've had a chance to test it. The whole setup with the glove box connector is so awkward that I'm not even sure how I'm gonna get my ipod out of it. I mean I found a plastic adapter that "sorta" fits, it's at least better than nothing, but the thing is now stuck and I'll probably have to use pliers to get at it since my pudgy fingers can't get at it anymore.
Should have the cable tomorrow. If anyone finds a plastic adapter that works it would be nice if you posted here too