Little is known about the use of intranasal vaccines, but some studies have shown that this innovative way of administration is preferred over needle injection as it is considered both less painful and intrusive to the body, equally effective, and associated with fewer side effects. This study aimed to investigate specific psychological determinants (intolerance of uncertainty, persecutory ideation, perceived control, vaccine hesitancy) of attitude toward nasal vaccine delivery. A convenience sample including 700 Italian participants took part in this cross-sectional study and completed an online questionnaire. A structural equation model with a latent variable was performed to study the relationship between psychological variables, vaccine hesitancy, and attitude toward nasal vaccine delivery. The results indicate that both a hesitant attitude toward vaccination (β = 0.20, p = 0.000) and low perceived control (β = −0.20, p = 0.005) may directly increase preference for nasal administration; furthermore, high levels of persecutory ideation may indirectly influence the propensity for intranasal vaccine. These findings suggest that pharmaceutical companies could implement nasal vaccines and provide detailed information on these vaccines through informational campaigns. Hesitant individuals with low levels of perceived control could more easily comply with these types of vaccines.