We prove that the K-theoretic Nekrasov instanton partition functions have a finite radius of convergence in the instanton counting parameter and are holomorphic functions of the Coulomb parameters in a suitable domain. We discuss the implications for the AGT correspondence and the analyticity of the norm of Gaiotto states for the deformed Virasoro algebra. The proof is based on random matrix techniques and relies on an integral representation of the partition function, due to Nekrasov, which we also prove.
