Export Workflow varialbe in xml or csv?

Could you explain your requirement a little further?  Do you want to export all of the variables from a workflow into XML or CSV?  If so, one option would be to create a SharePoint list with a custom column for each variable.  Then use the Create Item action to add an item into this list with all of the variables.  SharePoint lists can be easily filtered and exported to Excel, and Excel files can be saved as CSV very easily as well.

Does this mean that you don't want to create a CSV file, but you specifically need to save an XML file to a network file share?  Note that this is not directly supported by Nintex.  if you need to save a file from Nintex to the file system, there are three potential approaches:

1. Build a custom Nintex action in Visual Studio that contains this functionality
2. Use the new PowerShell action.  I'm not sure if this is a formally supported solution, but there is now an option to download this from the Nintex Community site: NTX PowerShell Action - Stable Release
3. Use a web service

I would try option 2 first.

Another option may be to store a boilerplate XML file in a Document library.  You could then use the Update XML action to replace the boilerplate XML content with the new XML each time and then copy this XML file to a new folder or a different library.  You can then open the document library in windows explorer, or use powershell to copy the file from the document library to a network file share.