If I deactivate or delete Nelio Content, do I lose any data?

No. If you deactivate or remove the plugin from your web, you won’t lose any data.

There’s more than one way to deactivate and/or remove a plugin from WordPress. Usually, you log into your WordPress Dashboard and go to Plugins, look for the plugin you want to deactivate, and use the available actions for doing so. But you can also remove a plugin by using an FTP client and removing the plugin’s directory (in this case, …/wp-content/plugins/nelio-content/).

To make your life easier, though, Nelio Content does include a mechanism for cleaning your WordPress database upon deactivation. If you use the former method for deactivating plugins, you’ll see the following dialog:

As you can see, one of the options it offers includes cleaning your database. You can read more about this modal dialog here.