Ummm, you can purchase an album you've seen on Pandora on CD or via iTunes, then use iTunes to sync to your iPod (be it an iPod, Classic, Nano, Shuffle, Mini, what have you). But that's it. A standard iPod has no internet connection and must by sync'd via iTunes anyway. Just a matter of purchasing whatever album you were listening to at the time. That's all I've got.
But no you can't download albums directly from Pandora on any iPod other than perhaps the iPod touch with a Pandora subscription for offline listening but that's a different deal.