I want to set value of some SharePoint columns on form load but dont want to display the columns on the form.
I am not able to find an option to set column value without adding it to the form.
that's correct - if you don't put a filed on a form (or to be exact: a control connected to a list filed), there is no reason why would nintex created/rendered any elements or variables for it.
so if you don't want control/field to be shown, create a formatting rule for it and define formula/condition when it should show or hide.
Retrieving data ...