As with the immediately succeeding title of 'Duke of Schleswig-Holstein' and the ultimate one of 'Duke of Oldenburg', it's an artifact of Nicholas' being the senior agnate of the (Schleswig-)Holstein-Gottorp line of the House of Oldenburg.

The last male-line ('true') Romanov monarch to rule Russia, Elizabeth, died in 1762, whereupon the throne passed to her sororal nephew, Peter III (who would very shortly be replaced by his wife, Catherine II/the Great, herself succeeded by their son Paul I).

Peter III was, at the time of his succession, already the reigning Duke of Holstein-Gottorp, having succeeded in 1739, upon the death of his father, Charles Frederick, who also passed on the preeminent claim to the throne of Sweden (being himself the sororal nephew + heir to the Swedish king), and the Norwegian, Schleswig-Holstein, and Oldenburg titles, among others. When Charles Frederick was born in 1700, the Oldenburgs ruled in Schleswig and Denmark-Norway.

It may interest you to know that the House of Oldenburg (the Schleswig-Holstein-Sonderburg-Glücksburg line) today reigns in Norway (and also Denmark) and will also in the commonwealth realms upon the death of Elizabeth II, as Prince Philip is an agnate of that house, as he was born a male-line prince of Denmark (and Greece). Much as the Russian emperors continued to call themselves Romanovs, though, the Windsor house name will survive.

I have left out a good deal of the genealogical relations involved, as the amount of intermarriage and throne-shifting during the period of Peter III's life and immediately preceding makes everything very convoluted (Peter III and Catherine II were actually second cousins! Charles Frederick was denied the Swedish throne by his aunt Ulrika! The Swedes tried to make Peter III their king, but he renounced his rights for Russia! The Swedes eventually enthroned Peter III's paternal (Holstein-Gottorp) cousin Adolf Frederick in Sweden!) but I'm happy to go into more detail if you want.