A gas turbine nozzle segment has outer and inner bands and a vane extending therebetween. Each band has a side wall, a cover and an impingement plate between the cover and nozzle wall defining two cavities on opposite sides of the impingement plate. Cooling steam is supplied to one cavity for flow through apertures of the impingement plate to cool the nozzle wall. The side wall of the band has an inturned flange defining with the nozzle wall an undercut region. The outer surface of the side wall is provided with a step prior to welding the cover to the side wall. A thermal barrier coating is applied in the step and, after the cover is welded to the side wall, the side wall is finally machined to a controlled thickness removing all, some or none of the coating.