Anyway, sending nudes is not a good idea, ESPECIALLY if you're under 18. In general, it's not a good idea because you can get back-stabbed, but under 18 is especially problematic as that carries many legal ramifications that can arise.
You should talk to him, she may not even be aware that you are his girlfriend or that he has one. Also, just the fact that he's saving them does point out that he's not good boyfriend material at all and you should honestly think about breaking this off with him. A boyfriend should be loyal to you. He should respect you enough to not save any nudes of other women because he should know that would be disloyal of him and it would make you feel uncomfortable. Anyways, still talk to him but just know he'll probably lie or make excuses so you might want to consider breaking it off. It seems like you deserve better than him.
If she is your age, then she is sending child pornography. And he is receiving child pornography. And even though the are both under age themselves, they can get in trouble for that.
Since you know about it and know that he is saving them, it seems that you have already talked to him about it and nothing changed. If he wants her pictures and doesn't care what you think, then you would be best off forgetting him.
I would honestly break it off with him. If your boyfriend respects you he would have asked that girl to not send him any nudes. If she continued after he asked her to stop he should have blocked her and cut all contact with her. The fact that he is accepting these nudes and saving them and not doing anything about it makes me feel as if he does not respect you or your relationship.
I would try talking to him first to let him know it bothers you, if you start off with just telling him to block her it'll make him feel like you are trying to "control him". Beating her up could only get you both hurt so, uh, no. As got talking to her about it, girls who generally send such things to guys with the knowledge the guy is in a relationship don't tend to be "rational" anyway.
It's not his fault (necessarily) that she's sending nudes to him. He can't control her behavior. However, he should not be saving them, and he should be having a conversation with her and letting her know that he is in a relationship and doesn't want them. For those things to happen, you need to talk to him and let him know how you feel.
You should be worrying about your boyfriend saving some chick's nudes, not about a girl who might not even know you exist sending them and considering beating her up... You have to talk to him about it.. I'd personally break up with him.