Waveguide Bragg gratings (WBGs) were directly inscribed into Alkaline Earth Boro-Aluminosilicate glass samples in a single process step at high fabrication speeds. We utilized a 5.1 MHz femtosecond oscillator to exploit high repetition rate heat accumulation effects. The pulse energy was modulated using a Pockels cell in order to fabricate waveguides that contain a periodic array of nano-structures inside their core. We have demonstrated, for the first time, that the transient build-up of heat accumulation within the sample can lead to the formation of a permanent nano-void. This effect can be exploited to fabricate WBGs at high speeds.