If you have a text file that lists point coordinates, you can use "import points from file" to create points in your NX file. Now that you have point objects to work with, you can use "fit curve" to create a curve from the points.
It is possible.
There is still an old spline functionality, which is about to be retired... But still available in NX10.
Use the command finder and look for "spline retire" and you'll find it.
The usage is very very old fashioned, but it should work.
You can use Knowledge fusion also besides the method elaborated by Johannes. I had an old code that might work in latest versions also but will have to look for it.