If it needs to be within a string of text, use the greek font. You can use special control characters to change the font within a note. For instance, your note will look something like "TEXT TEXT <Fn>d<F> TEXT TEXT". Where "n" is the font number for the greek font (you may have to experiment a little to find the right number).
To see what other control characters are available search the drafting help files for 'control characters'.
It is a bummer that the delta symbol in not available in NX but you can use a triangle shaped ID symbol (with no text inside) instead of that.
If it is critical that the symbol be attached to the line of text then click on it with the right mouse button > origin > click associate on > offset character (bottom icon) ...
you will have place play with the offset charater values to get what you want because the origin and size of the text affect that.
You can create a User-Defined Symbol and save it, which can be placed seperate from annotation (text) OR you can use a special 'code' to place it WITH annotation in the annotation editor.
It's been awhile since I've done it using the 'code', but I think it's something like <%symbol_name_here>, with symbol_name_here being the actual User-Defined Symbol name. For example, if you draw the delta shape with curves, you can then define the symbol parameters and save it as delta_symbol to your default .sbf file. In the annotation editor, you'd enter this EXACTLY: <%delta_symbol> and it will show up right there beside the normal text. Note that during creation, you might be asked for anchor or defining points which define the point where the cursor focus will use while placing the symbol when it's being used. What you can do is construct points (or just eyeball it) and use those points for the location but don't add the actual Point geometry to the symbol's geometry. I hope that makes sense.
You will have to play with the scaling settings to get the correct aspect ratio/size of the Symbol relative to the rest of the annotation in the editor.
If you need further details, check the documentation for User-Defined Symbols. Note that this is NOT the same thing as a Custom Symbol. Those behave differently and are more like the ID Symbols in most ways.
Otherwise there is a triangle symbol available under ID symbol that can have text inside it but does not have to. The method would be to leave a gap in you text and then position the triangle separately.
goto All Programs->Accessories->System Tools->Character Map
and type 'Delta' in "search for" text box keeping "Font" (top most dropdown list) as "Arial Black" and "Character Set" as "Windows: Greek". Search lists delta character. Click the cell with delta icon -> select ->copy
In unigraphics Annotation Editor, paste it, change its font to "Greek".
This method can be used for other special symbols, but in annotation editor change the font to "cyrillic" or "cyrillicf".