I have been working with mce2222 and together we have came up with a solution to this problem.
It was caused by filesys.exe and certmod.dll checking signatures on exe files which are not part of the rom.
I have knocked up a program which patches the nk.exe inside the NK.BIN file, so it will bypass the check.
It also fixes up the record checksum after the modification, and checks the checksums of the other records too.
I have uploaded it here:
http://www.megaupload.com/?d=ZX1A8BMN
I will also add it to the wiki.
http://www.t-hack.com/wiki/index.php/NK.BIN_Patcher
Mick