"Nano is huge compared with a minimal Linux installation"
By huge you mean a few hundred MB of difference at most. That's peanuts in disk space. And if they are using a Windows Server or other modern disk storage with deduplication then it will have almost no disk cost.
"and Linux is far more performant and scales better"
Not in this space - Hyper-V scales better than say KVM - and has a proven higher throughput capacity for IOs per VM. Also you can get Hyper-V Server which is a standalone hypervisor version but completely free and with all features, whereas Linux based hypervisor solutions are a bolt-on to the full kernel. Linux focused cloud solutions like Google and Amazon also don't have an out of the box Hybrid Cloud option, whereas Microsoft does. Microsoft's solutions also generally have a lower TCO and are much easier to use and have more capable management tools. Also there are historically far fewer security patches to have to evaluate / install for Hyper-v Server versus any commonly used competing option.
Hence why KVM has only about 1% of this market, and Hyper-V which has about 30% - behind VMware but catching up fast. See http://www.thomasmaurer.ch/2014/07/hyper-v-is-eating-vmwares-lunch/