Because Gamora and Nebula care for one another as sisters.
In Guardians of the Galaxy Vol. 2
GAMORA: I’m not the one who just flew across the universe because I wanted to win!
NEBULA: Don’t tell me what I want!
GAMORA: I don’t have to because you make it obvi -
NEBULA: YOU WERE THE ONE WHO WANTED TO WIN, I JUST WANTED A SISTER!
NEBULA: I’ll help them by killing Thanos.
GAMORA: I don’t know if that’s possible.
Nebula: *shrugs* maybe.
She turns to leave. But Gamora grabs
her, perhaps too roughly. Nebula turns, ready to snap.
And Gamora EMBRACES her. Nebula does not know how to react.
GAMORA: You’ll always be my sister.
Source: waltdisneystudiosawards.com, text also backed up on Transcripts Wiki (though the first bit doesn't list who says what)
As we can see, despite it seeming as if they hate one another, the two love each other dearly, which means that in Infinity Wars Gamora is watching Thanos torture someone she loves.