Something that has served me extremely well with working short sales is to communicate, communicate, communicate. Nag may be a less elegant way of putting it. Have you been assigned a particular coordinator at Citi? My experience has been that once you are assigned a particular negotiator there, they are really responsive to my email requests.
Email your negotiator and ask what they still need to get the approval on their part of the deal. Odds are, it'll be something you've already given them, but it's ok.
You should be able to get an extension. Typically, banks will allow one extension.