Yes this ation is not available in Nintex Worklfow for O365.

But you can find an alternative with the action "Document Generation", where you can convert word,excel,powerpoint document as PDF.

Find the documentation here :

https://help.nintex.com/en-US/office365/Designer/Actions/DocumentGeneration.htm

I have a whole series of posts about my efforts to get the "Document Generation" working. Find it here - 

https://community.nintex.com/t5/Nintex-for-Office-365-Forum/new-Nintex-Forms-Designer-Signature-control/m-p/100181

Note that I was also dealing with other issues like retrieving the image of the signature from the Signature control in Nintex Forms, which is stored as an attachment to the list item.  You may not need all the steps I did.  In short, this "Document Generation" action involves creating a Word template which Nintex Workflow can use to generate the PDF.  Licenses may be required - ask Nintex.

>> We are doing a migration from SharePoint 2016 to SPO. We are using some convert to document actions in our on-premise Nintex workflows.  It seems like those actions are not supported in Nintex online.

@NikhilElangad I assume you are using "Muhimbi PDF Converter" in your SharePoint 2016. Nintex does not provide direct integration to third parties so that actions are not present but there is a workaround. Please have a look at the article - Use Nintex Workflow for Office 365 to PDF Convert, Merge, Watermark, Secure & OCR files (muhimbi.com)