The NoMachine web server, nxhtd, is a minimal web server based on Apache. For example up to version 5.3.9, nxhtd is based on httpd-2.4.16, while nxhtd v. 5.3.10 uses httpd-2.4.27. This minimal version doesn't include the mod_headers module necessary to enable the X-Frame-Options HTTP response header.

A possible solution is to use an alternative Apache web server which permits to configure the X-Frame-Options and define if a browser is allowed to render a page in frame, iframe or object:

https://kb.nomachine.com/AR07K00680
Use your own Apache Web Server to run NoMachine sessions on the web

The mod_headers module is added to nxhtd v. 6:

https://www.nomachine.com/FR07O03478
Adding the mod_headers module to the NoMachine web server