"Seleção" is not a nickname, it's a short form of "seleção nacional", which means "national team" in portuguese (literally, it means "national selection", like the players who are selected to represent the nation).
But the brazilian national team does have a nickname, it's "Seleção Canarinha" or, more commonly, "Escrete Canarinho".
"Escrete" is a word which is not used in any other context - only when talking about the brazilian national team. Originally, a "escrete" is a horse that is favourite to win a race, that's why it became the nickname of the brazilian team.
"Canarinho" is a "little canary", and the brazilian national team was given this nickname because their jersey is yellow.
This answer ended up much longer and more confusing than I inicially thought it would be! I hope you can understand it anyway!