Bona quaestio haec.
Athēnīs locativo casu quod pluraliter; aliis primae secundaeve declinationis verbis quorum singulus numerus exstat, singulariter genetivo: ergo Naxi, ut dicis. Vide A&G in sectione quadringentesimâ vicesimâ septimâ, paragrapho tertio, notâ primâ.
See A&G §427.3 note 1: locative is genitive of 1st/2nd decl. nouns in singular, and dative/ablative in plural or 3rd decl., so Athēnīs and Naxī in the locative.