Any smartphone that has the ability to tether to a device should be compatible with the go400. They don't mention Windows 8 Mobile OS as being compatible, but since it does allow for tethering, any Nokia should actually work with it.
Android, iOS and Blackberry supports the Go400. So if you're looking for a Nokia specifically, check out the Nokia X or XL, although these days it's more about preference rather than compatibility. We do not live in a world where Symbian is the "most popular" OS on a phone, and as compatibility go, most manufacturers will try to aim to be compatible for all.
If all else fails, perhaps a close friend or a friendly shop owner with a demo model of your favorite Nokia would allow you to play around and see if it is compatible?