It's just a robot face
While Nebula has been an oddball her whole life, she's grown a lot in the years since Guardians of the Galaxy 2014. She is now one of Endgame’s most beloved characters. Gamora was her best friend and she has become one of their most beloved characters.
First is the way she looks on the comics. They show her looking like a giant Luphomoid, with blue and purple skin. However, she was a completely different creature in the past and had many different incarnations throughout her life.
She was also an adventurer in her own right. In some of the more cosmic Marvel stories, she even fought the Skrulls.
Thanos was her father in the MCU (and she had him as her uncle, too), but she wasn't really related to him at all. They got into all sorts of trouble together, despite not having any real relationship other than being mercenaries.
Her relationship with Thanos was complicated and ended up making her the biggest enemy. Despite being loyal to her adopted father she became resentful towards him and his constant use her as a weapon in the war against others.
As her resentment grew, Nebula was forced to compete with her sister Gamora in combat, and when she beat her, Thanos would maim her and replace a part of her body with robotic enhancements. As she grew older, the resentment got worse and she began to dislike Thanos.
She made amends with her sibling, but still had difficulties with Thanos and her adoption. That made her turn against Thanos and she became a reluctant ally to the Guardians.
It's clear she was a major character in MCU. She is also a key character in Endgame and one of the most emotional.
Her transformation into a hero is also surprisingly moving and unexpected. It's possible that she will become Thanos’ last victim, as she claims to at the end.
How she became one
Nebula, a blue-eyed alien with purple skin, was initially a member of the MCU. Thanos changed her mind and made her a cyborg. As a result, she was subject to all sorts of surgery, bionic enhancements, and a whole host of other weird stuff.
How she changed during MCU
In Guardians 2, Nebula tells us that Thanos used her and her sister Gamora to punish the winner of their fighting matches. He would remove a portion of their bodies and replace it with some kind of robotic enhancement. This made them look awful.