NX can do revolved section cuts, which can include arcs in the section but it won't result in the same thing you're trying to show.
I used to work for a company that did these types of sections on their 2D drawings but they were done manually. We changed to straight section cuts when we starting creating our drawings from the 3D models.
I can create something that looks a lot like that by creating an arc using a sketch in the view, then creating a section line using a series of points along the arc. I don't know what dimensions in the section view parallel to the cut line would mean. But this view might be helpful as shown to understand what the section looks like, or to show dimensions perpendicular to the section cut line. This is not truly what you want, because the section cut line is really a series of straight line segments, not a true arc.
This was created in NX 11.1.