Here is a description of workflow variables from the product help guide (Nintex Workflow 2013)
Workflows retrieve data from a data source at run time, workflow variables provides the ability to store data somewhere in order to use it in the conditions and actions within the workflow. Different types of data can be stored in a workflow variable. A workflow variable can also be used to get data from users on workflow start.
Some examples of when workflow variables are useful:
It is not always appropriate or possible to store some of these values as meta data of the item attached to the workflow. To provide the means and flexibility to handle these kinds of scenarios Nintex Workflow provides workflow variables.