As a Nagato fan, I cannot understand why Kyon would take this long to just say "Yukirin"... I mean, it's not even embarrassing like "onee-chan", so just give the girl what she wants.

Also, skipping out on bathing with Yuki?! What's WRONG with you?!

... It's like this the whole time with the regular series, too, though. I could understand avoiding Yuki for Haruhi, but to then drool over Mikuru?

I'd say it's just him having such a deep respect for Nagato, since he owes her his life twice over and then some. It's much more than just romance going on there.