Ultimately you would save the external company a lot of traffic and money if you can proxy their Nexus repo with your own Nexus repo. This should provide enough reasons to set up a VPN user for Nexus. It can be very limited and have only access to the Nexus instance there and even be secured with a specific account in Nexus as well.
Every other workaround will ultimately be a hack. Worst case I would set up Nexus in your company and get it to access the external network with your user account, but a reasonable organization would understand the benefits of setting this up properly.
And if you are both using Nexus Professional you could use Smart Proxy for even better trusted connections and immediate updates of available components.