You can use nitrates if you want to try sol gel method because nitrates can be easily dissolved in water. If you will use metal nitrates in solid state reactions, they will eventually decompose at some higher T to release NOx and corresponding metal oxides. therefore there is no advantage of using nitrates.

Of course you can use the nitrates, they will decompose to oxides during heat treatment anyway. By dissolution of the nitrates or other salts you end up with mixtures of best possible homogeneity. On the other hand handling of the oxides is often much easier and they are usually cheaper. Moreover the nitrogen oxides evolved during heat treatment of nitrates are poisonous.

We used nitrate solutions to produce stabilizer coated zirconia successfully.

starting from metal nitrates you have a good chance to get first a liquid salt. This means higher reactivity. A solid metal oxide reacts only at the surface of the particles.