I'm not sure I would call Nolan an outright conservative, but there is a lot of state apologia and counter-revolutionary themes in The Dark Knight and The Dark Knight Rises. There's multiple examples including the justification of surveillance for anti-terrorism purposes, stateless anarchy portrayed as monstrous via Bane and The Joker, Alfred justifying imperialist actions in Burma, the protagonist being a rich billionaire, a lot of dialogue that seems to suggest it's not the system that's evil, but the lack of regulation against corruption, so on and so forth.

You might say that a lot of what he seems to advocate for seems to be firmly liberal, but Liberalism is a conservative ideology if you're looking outside America's shortsighted left/right spectrum. I like Nolan's work, but I constantly see suppression of revolutionary ideology in his work. I don't think he hates progressivism, but I do think he's riding the center, which in America, means right-wing.