Effects of sampling rate approaching the Nyquist frequency? (not undersampling)
Sampling at 2*Fn is suitable only for signals that are infinitely long and perfectly bandlimited to below Fn, which conditions don't exist in actual signals being sampled or resampled (given non-perfect low-pass filtering), or in any non-infinite length signals.

A finite length rectangular window will itself introduce higher frequency content to the signal being sampled or recorded.

Therefore, there are major advantages to a sample rate higher than 2*Fn, in terms of not corrupting the signal, especially if any higher frequency (close to Fn) spectral content near the beginning or end of your recorded signal is important.

Added:  Reconstructing a signal represented by data at a sample rate well above twice the highest frequency can greatly reduce the computational (or hardware) requirements of the reconstruction filter or interpolator.