I've been trying to use with Kali 1. No luck yet. Works great with Windows 7 and Android 5.1.1. Also saw people commenting that USB tethering was grayed out. The USB cable my Nano shipped with was the problem for me. Changing to an Anker cable opened the tether option. If your Android allows Wifi tether, try a different USB cable before assuming it won't work.
This is right along the lines of what I'm hoping to accomplish as well but can't seem to get the Raspberry Pi and the Nano working together. I have a Raspberry Pi 2 running Kali 1.1.1. The Wifi Pineapple Nano is connected via USB but I haven't been able to get Nano to connect the way it does with Windows. Kali continuously tells me eth1 (the Asix connection used by the Nano) is not ready. A few seconds later I get another message stating USB disconnect and then Kali attempts to reconnect the Nano's Asix USB device. During this continuous loop the Nano's blue light flashes. Is there something I missed? Windows picks up the Nano right away. I can't figure out why the Raspberry Pi doesn't.