For the nested style to work you need to have your texg in a single column frame, no tables or anything.
You need to insert a tab inbetween each first name and surname.
Create a character style called bold.
Create a paragraphy style
Go to Drop Caps and Nested Styles
Bold>up to>tab
[none]>up to>end nested character style
You will need a hard return at the end of each sentence.
Honestly nested styles are really good. But you can cut your steps in half using a table for this, no need for complimicated nested styles.
You will need:
A tab in between each first name and surname
Select all the text
Tables>Convert Text to Table.
Size the cells to fit
Select the column with first names> apply bold font or a character style (i'd go with character style.
Both ways would work just as well.