Tacitus, Suetonius, and Dio all mention Nero pretenders, and there is of course the myth of Nero Redivivus (Nero Reincarnate) that persisted in the east until the 5th century (Augustine mentions it), but I'm not aware of any actual proof that Nero survived. I've only read the more major classics so I may be missing something, but I think I can say that it safe to claim that nearly everyone is in agreement that he died in Rome, assisted by his freedman.