As of NSIS 2.01, the compiler, makensis, also compiles on POSIX platforms. POSIX platforms include Linux, *BSD, Mac OS X and others. Since the generated installer will eventually run on Windows, you need a cross-compiler in order to compile them.
If you don't have a cross compiler, you can use:
scons SKIPSTUBS=all SKIPPLUGINS=all SKIPUTILS=all SKIPMISC=all
This should only build makensis. Once you have makensis, you can drop it in a downloaded precompiled package such as the nightly build. Note that the in order for this to work, the precompiled package must be compiled using the exact same sources as makensis. In particular, Source\exehead\config.h and Source\exehead\fileform.h must be identical.