The answer below is based on an observation by the asker of this question, which can be found here and here, although the context is a bit different. (When I wrote it I wasn't aware that those questions were written by the same person as this question, but still I think it's a useful answer for future reference.)
In flat contradiction to my previous answer, there is a nice natural example where $\frac{1}{2}\,\text{nat}$ arises as an amount of information. It arises as a conditional entropy rather than an entropy, but I think it's still interesting. Of course you can turn it into one nat simply by making two independent copies of the same system. This is a purely mathematical example, but it's simple enough that it's easy to imagine it arising in a physical context.
Let $Q$ be a random variable uniformly distributed on the interval $[0,1]$. Let $X$ be a discrete random variable with values $\{0,1\}$, correlated with $q$ such that $p(x=1|Q=q)=q$. (Or to put it another way, $X$ is a random variable whose probability $q$ is uniformly distributed in $[0,1]$.)
It is clear that the entropy of $X$ is one bit, and the entropy of $Q$ diverges. (Or, if you prefer to use Shannon's continuous entropy, it's equal to one bit.) However, we may also ask the value of the conditional entropy $H(X|Q)$, which (informally speaking) is the expected amount of uncertainty left in the variable $X$ after learning the value of $Q$. It is defined as
$$\int_0^1 p(Q=q)H(X|Q=q),$$
or
$$-\int_0^1 dq (q\log q + (1-q)\log(1-q))\\
= \left[ \frac{1}{2}(-x^2\log(x) + x + (x-1)^2 \log(1-x)) \right]_0^1\\
= \frac{1}{2}\,\text{nat}.$$
Given two identical, independent systems of this form with variables $X_1, Q_1$ and $X_2, Q_2$, the conditional entropy $H(X_1X_2|Q_1Q_2) = 2H(X|Q) = 1\,\text{nat}$.
It is also reasonable to ask the value of the mutual information between the two variables $X$ and $Q$. This is given by $\ln 2 - 1/2\,\,\text{nats}$, or $1-\frac{1}{2}\log_2 e\,\,\text{bits}$.
For a more physical example of a one-nat quantity, see this question by Mark Eichenlaub. I'm currently trying to work out if there's a connection between this physical example and the mathematical one I've just presented.