Jason, can you show how you are populating the Multiline Text Box workflow variable?  I am unable to duplicate the behavior you are seeing.  Your Nintex version looks a little different, so not sure you have O365?  In any case, I am able to get it to work as I would expect using the regular expression as you have it, but I am not sure of the exact format you have going into the MLT variable in the first place?  I am not seeing the regular expression split up the https part of the web address.

Might have found it.  Is the source for your multiline text variable a field of Multiline Field of Rich Text?  If my source is Rich Text, I get the behavior you describe.  Plain Text is nice and clean.  Enhanced Rich Text also works.  It adds in the <div> and <br> html characters, but doesn't break up the https.  Only Rich Text does that for some reason.

Can you change the format of your source multiline to Plain Text?  Otherwise, can you try a regular expression to just strip the https: characters out of the string before splitting it?

Hey, thank you. That worked! 

Any idea how to do a list look up in a form for those urls and make them hot for users?

Are you talking about a form for viewing or creating a new item in a list or a form in a workflow running on an item?  For the former, I am not sure Nintex gives you the tools to look up items and display them like that from another list.  For the later, you could look up a list using the workflow functions and assign the links to workflow variables which you could then display on the form.