At Microsoft we have not considered writing a custom NLog target for the Data Collector API, but if that idea were to gain enough traction on the Log Analytics UserVoice page then we would definitely look into it.
We have recently releaseda connector for Azure Logic Apps (Blog post incoming) that can send data directly to the Data Collector API, opening all sorts of awesome sources to easily connect to OMS. NLog has a connector on GitHub for EventHubs, which Logic Apps can easily read from then send to the Data Collector API. I have not used that before, but a quick search brought it up. Webhooks would work directly with Logic Apps as well.