Laser trapped nanoparticles have been recently used as model systems to study fundamental relations holding far from equilibrium. Here we study, both experimentally and theoretically, a nanoscale silica sphere levitated by a laser in a low density gas. The center of mass motion of the particle is subjected, at the same time, to feedback cooling and a parametric modulation driving the system into a non-equilibrium steady state. Based on the Langevin equation of motion of the particle, we derive an analytical expression for the energy distribution of this steady state showing that the average and variance of the energy distribution can be controlled separately by appropriate choice of the friction, cooling and modulation parameters. Energy distributions determined in computer simulations and measured in a laboratory experiment agree well with the analytical predictions. We analyse the particle motion also in terms of the quadratures and find thermal squeezing depending on the degree of detuning.