Is it worth conquering Greece and Anatolia as Nabatea?

[Aneuth]

I wonder in particular if they still have access to native units or are reduced to the satrap retinue.

[Shoebopp]

Anatolia, definitely. You can always build a Satrapy there, which is already enough to unlock nearly all construction options. The units from a Satrapy in Anatolia are limited to basic hellenistic professionals (thureophoroi, euzonoi, the likes) though. HOWEVER, if you build a Philhellenic Satrapy in Anatolia, you get not only the basic hellenistic professionals, but excellent local recruitment (Lydian Lancers, Peltastai Logades) on top of that, as well as a unit of Thorakitai as the cherry on top. This applies only to the heavily hellenized western half of Anatolia. The native eastern half has no poleis at the beginning of the game and is unlikely to ever construct one, which fail the requirements for a PHS.

Hellas (mainland Greece) is a little worse. Since all settlements there start off with at least a level 2 polis (only level 1 is required for Philhellenic Satrapy), you can build the PHS everywhere, and fully develop those settlements. You'll still get basic hellenistic professionals as well as the satrap's retinue, but no local troops. So no Thessalian Cavalry nor Spartan or Lakedaimonian Hoplites.