`nvm` isn't a file, it is a bash function defined in some file (likely ~/.nvm/nvm.sh). So when you say `which nvm` it prints out the definition of the `nvm` function. This is setup when you added something like:

    export NVM_DIR="$HOME/.nvm"
    [ -s "$NVM_DIR/nvm.sh" ] && \. "$NVM_DIR/nvm.sh"  # This loads nvm
    [ -s "$NVM_DIR/bash_completion" ] && \. 
 "$NVM_DIR/bash_completion"  # This loads nvm bash_completion

to your bashrc.