In this paper, the mechanical behavior of a functionally graded nano-cylinder under a radial pressure is investigated. Strain gradient theory is used to include the small scale effects in this analysis. The variations in material properties along the thickness direction are included based on three different models. Due to slight variations in engineering materials, the Poisson's ratio is assumed to be constant. The governing equation and its corresponding boundary conditions are obtained using Hamilton's principle. Due to the complexity of the governed system of differential equations, numerical methods are employed to achieve a solution. The analysis is general and can be reduced to classical elasticity if the material length scale parameters are taken to be zero. The effect of material index n, variations in material properties and the applied internal and external pressures on the total and high-order stresses, are well examined. For the cases in which the applied external pressure at the inside (or outside) radius is zero, due to small effects in nano-cylinder, some components of the high-order radial stresses do not vanish at the boundaries. Based on the results, the material inhomogeneity index n, as well as the selected model through which the mechanical properties may vary along the thickness, have significant effects on the radial and circumferential stresses.