Assuming that we're going for a 'nailed to the cross' idea here, could we assume that the fact that they're shaped like nails isn't strictly connected to the fact that they can harm Dolls? Without full knowledge of what's been discussed, it doesn't seem unreasonable to say that the organisation that knows how to produce weaponry able to harm Dolls [i]also[/i] possesses a strong symbolic history and therefore chooses to make their weaponry as a homage.

If we're keeping similar religious symbology to the original Victorian era, you could always say that the nails used to kill Dolls are literally forged from the nails used in the crucifixion of saints (providing them with their supernatural properties), with one such nail being melted down and mixed with regular steel to produce each individual clip for the Hunter's ammo.