This is not an uncommon issue when a script is using the keyboard or mouse, as most do.  There are a couple of ways to get around it.  First I would suggest trying the tscon utility when you log out of the RDP session. This utility returns the control to the original local session on the remote computer and bypasses the login screen. All programs on the remote computer continue running normally, including the Nintex Bots.  You can find the instructions on how to use it in the Nintex help article https://help.nintex.com/en-US/rpa/Actions/Unlock.htm?Highlight=unlocker under the 'Best practices for remote desktops and virtual machines' section.  If this is not an option for you try leaving the RDP Session open and slide it off the screen of the host machine where it is out of the way but visible enough to move back and close.