Nitrogen or other compressed gas has become more popular for calibration for several reasons:
Compressed gas is more stable than hydraulic fluid. Gas is highly compressed, while hydraulic fluid is an incompressible fluid. Thus, any small change in volume due to leaks or temperature change can make a large difference in pressure with hydraulic fluid. But, because gas is compressed, it will expand to compensate for any volume change and the change in pressure due to leakage is much less.
Compressed gas provides better control of pressure than hydraulic fluid. It is easier to go from one test point to another than hydraulic fluid without overshoot and hysteresis error in a multiple point calibration. It also provides a better range than hydraulic fluid. It can be used at very low pressures of 0.1 inch of water column all the way to 3000 psi, while hydraulic fluid is most effective in the 500-5000 psi range.
Compressed gas is cleaner to use than hydraulic fluid. It leaves no liquid to contaminate a gas system and avoids the problem of fluid freezing in a trapped space. Because it is an inert gas when you vent the nitrogen to atmosphere you prevent the environmental problems associated with spilling liquid.
Hydraulic fluid has other advantages though. For higher pressure calibrations hydraulic fluid is the only option. It also works when the bottle of compressed gas that you are using drops below the test point you are trying to hit. On balance, the benefits of using compressed gas outweigh the problems in most cases. It depends on the situation but often compressed gas provides a better solution for the user.