If you wish to travel by bus to Nevşehir Province then there is no direct bus service to there, you will have to arrive at Ankara first and then take a coach to Urgup (Cappadocia). However, there are buses which ply to Cappadocia daily from other neighbourinng cities of Turkey as well. There are frequent minibuses running everyday too. You could even hire a car to drive down to Cappadocia from Izmir, Istanbul, Ephesus, Kusadasi, Antalya and Ankara and from Cappadocia you can reach Nevşehir.
You should take an information and bus ticket on the main intercity bus station of the city where you wanna to get in from.