The only way to do it without a 3rd party vendor would be if you had your own SMS gateway setup that you could communicate with. As there is a cost associated with SMS / text messengering the easiest way to do it, is to use a service like Twilio. Where you can purchase phone numbers from different countries / regions as so your SMS messages can be tailored to your audiences. Twilio can be used natively in Nintex Workflow Cloud or via a UDA https://community.nintex.com/docs/DOC-3706 as you have already pointed out.
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