Peculiarities in the nonlinear dielectric response of the relaxor lead magnoniobate (PMN) are explained within the classic Landau-Ginzburg-Devonshire theory. It turns out that a correction term proportional to the square of the polarization, P02, of polar nanoregions (PNRs) becomes relevant in relaxor ferroelectrics. These PNRs are stabilized by fluctuations of quenched random electric fields. In contrast to regular ferroelectrics with continuous phase transitions, where the third harmonic susceptibility, χ3, is negative at T > Tc, the contribution due to PNRs drives χ3 positive in PMN. The lack of an anomaly in χ3 at the freezing temperature, Tf, does not favor a glassy scenario of relaxors. [ABSTRACT FROM AUTHOR]