From what I can tell, it’s a slang phrase associated with the UK form of douchebags. “Nando’s” is a restaurant chain, and “cheeky” denotes a certain vaguely disrespectful attitude; so going for some cheeky Nando’s with the lads would be to go out with your loud annoying friends and be loud and annoying at the Nando’s.
It’s funny to British people because they know what demographic it’s referring to, and it’s funny to Americans because Americans historically find British people amusing.
It’s because they talk so funny.
Nando’s serves Portuguese food, I believe.