Prepare su declaración y consulta fuera del bucle:
s = ("insert into " + this.database + ".user (nickname) values (?)");
this.preparedStatement = this.connect.prepareStatement(s);
for (String key : this.map.keySet())
{
this.preparedStatement.setString(1, key);
this.preparedStatement.addBatch();
}
this.preparedStatement.executeBatch();