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:
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)
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)
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.