I think the other answers are both partially correct, but what seems to be missing from them is a discussion of the narrative device that she inhabits within the overarching story.
Walt's journey (descent from morality) begins with desperation. He truly convinced himself that he was doing this to save his family from financial ruin, especially with the new daughter on the way. And so originally, his "Mom and Pop" operation with Jesse was just that, it was about family.
But then they have to deal with Jesse's competitors and former friends, and it becomes about turf and pride and "playing the part" of a drug dealer.
As the seasons go on, Walt becomes closer and closer to the reality of mass-market narcotics production. Busting a dealer on the street is an easy get, it's like a parking ticket -- it's a cash grab, it makes it seem like at least something is getting done.
The reality is that a massive international cabal or cartel of drug production, trafficking, and distribution is where the real consistent amount of money would be, and it's really the heart of the problem with the illegal industry of narcotics.
Just because it's illegal, that doesn't mean it's not an industry, that just means a it's more dangerous to be a part of it.
This is the narrative that Walt travels along as he becomes Heisenberg and ultimate seeks his own cartel-like Gus Fring status. And he believes he's even greater because he's not just the business man, he's not just the boss man, but he's the creative genius as well. He believes he's capable of everything and anything, and in many ways he is.
So along this narrative, Lydia (with her anxiety) plays the role of the pencil-pusher, the corporate "stooge" who's concerned about the "bottom line" and making sure they end the fiscal quarter "in the black". Her nervousness isn't about an unwillingness to commit crimes or to act on immoral impulses or decisions (like the other answers show, she does that unhesitantly and often pre-planned). It's a nervousness of doing good business and not getting caught.
She's the drug kingpin version of Gary Cole from "Office Space". Instead of TPS reports, she worries about DEA reports.
It's not that she's working with Gus Fring for any special or accidental reason, she's working with him because he's the best. He was a pillar of the community and he was the only true competition to the cartel. He treated it like a business, just as she does. It's not that her nervousness and anxieties don't fit for the character or her choices, it's that because of her situation, because of her choices, she is rationally and rightfully nervous. She's making tons of money, but in a monumentally risky way. Life ending (or worse) risks.
And in the narrative context of the television show as art/literature as a well as entertainment, she's a bit of a natural progression to the American industrialization of everything good, bad, and in-between. So in that way she's also a bit of a satire. Instead of the "Wolf of Wall Street"-style unchecked confidence, she's committing massive crimes that she doesn't know if she can get away with them. And we're introduced to her most prevalently after Gus is blown in half and everything has happened with the cartel, which she undoubtedly knew all about.
There's every reason to be nervous.