Quote from Mahoney
I also dislike the build-up to us being Nephalem, which started off well with the Ancients ghost and Kulle his remarks, After things like "You killed our strongest champions, and yet you doubt what you are" and "You're an interesting one, do your friends know who you are?", everyone suddenly knew we where nephalem. It feels like we missed a step in the story, one in which it's revealed that we are one of the last nephalem.
It's like Rand Al'Thor (for the WoT fans) suddenly went from being a sheepherder to Dragon Reborn without the Eye of the World closing chapter.
I think you got it backwards about calling us the last of the nephalems. Considering all humans are nephalems whose powers have been diminished by the worldstone, we can only assume the player character is simply one of the few whose nephalem powers awakened since the destruction of the worldstone and certainly won't be the last.