This is a problem related with WPML Multilingual CMS i reproduced in version 3.0.1 over a Nginx server.
His filter for the WordPress SEO by Yoast sitemaps (plugins/sitepress-multilingual-cms/inc/wpseo-sitemaps-filter.php) takes a global variable (WPSEO_FRONT_URL) that doesn’t seems to work.
Because of this you can’t see the sitemap XML but it generates well.