Nuclear star clusters that surround supermassive black holes (SMBHs) in galactic nuclei are thought to contain large numbers of black holes (BHs) and neutron stars (NSs), a fraction of which form binaries and could merge by Kozai-Lidov oscillations (KL). Triple compact objects are likely to be present, given what is known about the multiplicity of massive stars, whose life ends either as an NS or a BH. In this paper, we present a new possible scenario for merging BHs and NSs in galactic nuclei. We study the evolution of a triple black hole (BH) or neutron star (NS) system orbiting an SMBH in a galactic nucleus by means of direct high-precision N-body simulations, including post-Newtonian terms. We find that the four-body dynamical interactions can increase the KL angle window for mergers compared to the binary case and make BH and NS binaries merge on shorter time-scales. We show that the merger fraction can be up to similar to 5-8 times higher for triples than for binaries. Therefore, even if the triple fraction is only similar to 10-20 per cent of the binary fraction, they could contribute to the merger events observed by LIGO/VIRGO in comparable numbers.