Technically they would if the bedrock ceiling was deleted but other than that, the light has no open ceiling xD
Beacons generally work in the Nether if there's only naturally generated blocks above it (e.g., netherrack, bedrock). I tested it in a singleplayer world and it worked fine.
I tested in Town and could not even get beacons to work through leaves, water, etc. Had to be full 15 Sunlight above it sl:15 on the F3 screen, so in nether you would have to have Sr staff edit out the bedrock right above the beacon, and dig out the nether rack above the beacon. And, this is Not a Sr Staff service, so ... In 1.8 Beacon beams will go through water and leaves. Maybe in 1.8 they will work in the Nether ?
Sorry if my post wasn't clear: I have tested it on the Nether Wastelands and the powers were greyed out.
Duplicated the problem in the singleplayer world. It works if built on ground that isn't floating (with the exception of a fortress), but doesn't work if built on a floating island or a fortress. I've never heard of such a bug...