Nintex Workflow will redirect you to the default page of the current site. If you’d like to redirect to a custom page after someone approved an item, then you have to add a parameter to the reflink property in the mail message.
Go to the “task notification” tab, and edit the mail message’s source code (ribbon: format text => edit source). What you get is plain HTML code with some placeholders. Now go to the approval section and search for the reflink property. There you can add a parameter called “Source” with a relative url. Please note that it’s not possible to add absolute links here!