I think the reason they want you to use a nested query is that your natural join returns multiple records for a single supplier if that supplier has multiple shipments with parts weighing more than 200 pounds. Now, guessing your keys since they weren't supplied, I think they are looking for something like this:
Select s.sname Supplier
From Suppliers s
Where s.snum In(
Select Distinct sh.snum
From Shipments sh
Natural Join Parts p
Where p.Weight > 200)
EDIT I have updated the query to use the snum key name as displayed on your updated pic.