I searched for the vocative form Gnaee in several corpora but did not find any results. A general web search seems to reveal only automatically generated vocatives, which I would not lend much credence to, as well as the excellent 16th century example cited by @JoelDerfner in Juan Luis Vives's De Initiis Sectis Et Laudibus Philosophiae. The two alternatives in the critical apparatus (Gnee and Cnee) correspond to a pretty common transposing of ae to e (saeculorum > seclorum) and g to c (Gaius > Caius).
To add some more classical weight to this, I looked up similar names ending in aeus whose vocative forms are attested in the classical corpus. Here are some examples:
Hymenaeus
turba ruunt et "Hymen" clamant "Hymenaee!" frequenter (Ovid, Heroides XII)
nec lenius altera virgo
aestuat, utque celer venias, Hymenaee, precatur. (Ovid, Metamorphoses, IX)
(and many more)
Lenaeus
Dulce periculum est,
o Lenaee, sequi deum
cingentem viridi tempora pampino. (Horace, Carmina, III)
huc, pater o Lenaee, ueni, nudataque musto
tinge nouo mecum dereptis crura coturnis. (Vergil, Georgicon, II)
Ptolemaeus
ne caedes confusa manu permissaque fatis
te, Ptolemaee, trahat. (Lucan, Bellum Civile, X)
All things considered, Gnaee is definitely a safe supposition as the vocative of Gnaeus.