This doesn't have anything to do with nagios, it's to do with your mail client. Nagios is just piping info to sendmail (default) or whatever other mailer you may have set up.
did you update your /etc/hosts file?
If you're using sendmail, tou can also try adding define(
confDOMAIN_NAME',mail.yourdomain.com')dnl to both your sendmail.mc and your submit.mc (if you have one). Then rebuild the Sendmail config files and restart Sendmail. These files are probably in /etc/mail/.
If you dont use your .mc files then you can add the following definition to your sendmail.cf and submit.cf: