I am not sure if you can use that action for creating item in another site collection.Following is the link Copying items in list/libraries

Just to clarify, the action does exist and is:  http://help.nintex.com/en-us/nintex2016/current/Workflow/ActionsConnectors/Office%20365%20Create%20List%20Item.htm

Actions is available but does it work for cross site collection?Everywhere I just read that Web Service is the option for cross site data create/copy

check this for similar issue How to copy list from one site collection to another site collection

Mark the answer as correct if it solves the issue

Yes, it does work for creating an item in a different site collection within a tenant. It's precisely what this action is meant to do, according to the documentation. 

I too sometimes suffer from this issue, but I'm not sure why it occurs. The site collection I'm attempting to create a list item on exists and is accessible via the browser.

What I have observed is that, when this error occurs, resuming the workflow will never resolve the issue. Furthermore, I've also observed that terminating the currently running workflow and starting a new instance will also not resolve the issue.

Here's the kicker. What I've noticed is that if I copy the list item that I'm attempting to execute the workflow against into a new list item, and then start the workflow on the newly created list item, this new workflow will typically complete without issue.