Blair, I'm sorry I'm far away. I would totally play auntie if I was close enough!
Maybe your parents don't realize that they're favoring your nephew so much. Dad's mom never did--I thought that she completely indulged her daughter and her children, while we had to call and make an appointment for any visit at all--even my dad! When I started jr high, the school was 2 blocks from her house, and it was made very clear to me that I wasn't welcome to just 'drop in' after school without calling first, but my cousin who was in the same class were allowed free run of the place, along with his friends. It's not that I wasn't LOVED--I was, and I knew it--but the boundaries were completely different. It wasn't until I was in college that I finally brought it up to her one day--and she honestly didn't realize that I felt like she'd been guilty of some favoritism. To her, the difference was that her daughter was not a stable person, or even a particularly good person, and those grandkids needed a safe haven available to them at the drop of a hat if their mother was drunk, or brought some guy home. With my sibs and I, she knew that we were safe, and she felt that the "call first" rule was just reinforcing the good manners my parents were trying to teach us. It was really just that simple. I had responsible parents, while my cousins didn't.
Your parents may have a motive that's not visible to you, just like my grandmother's motive wasn't visible to ME. Talk them, and tell them that you perceive a difference in the way they treat your nephew vs how they treat your girls, and give her specific examples like this last situation, and any others that you can be clear about, but not overly emotional. Tell them you'd like to understand why this is happening, for the girls' sake. Use me as an example, if you like. I always knew that Gramma loved me, but I also always felt that she valued my cousins MORE than me, because I felt they had freer access to her, the way I did my Gran. By the time I was grown enough to ask the question and understand why, it was too late--Gramma died less than a year later.
That said: my friend Tia's MIL is just a pill--she lives 10 blocks from T, and sees her grandchildren maybe twice a year, on their birthday, and on Christmas if she doesn't go out of town to one of her other kids. Tia's run into her MIL at the grocery store or Costco, and the girls don't even recognize their grandmother most of the time.
If that's the case, you'll just have to find your girls an auntie like me.