I am building a workflow with Gitlab, Jenkins and - probably - Nexus (I need an artifact storage). I would like to have Gi
Gitlab (server) itself is for git repositories. You are not supposed to store binaries in git. Nexus would here the way to go. You might add a link to nexus in your repositories description or readme file (like you can point there to your jenkins build, too).
You might want to take a look into GitLab Continuous Integration which integrates with Gitlab. That seems to be more something like Jenkins. I do not know if it comes with a data storage like Nexus.