I would associate 'siesta' with warmer countries in southern Europe and Latin America, and would expect this to be in the early to mid-afternoon. This is quite 'formal' in that it is often built into the timetable of the day, especially in summer. In Spain, for example, shops and businesses often close for several hours during the hottest part of the afternoon to allow for siesta time after lunch. When people go for a siesta, you might expect them to slip into comfortable clothes and lie down in a cool, dark room for maybe up to an hour. 'Nap', by contrast, merely means a short sleep: it can last as little as a few minutes and can happen at any time of day and anywhere. In this respect, it's more 'informal'. It's particularly associated with babies and small children and perhaps the elderly.