You are the first person asking for this. Although it could be a good idea also for performance (saving resources needed for new session processes) it isn’t as simple as adding a new button.
You can always start the second application running a new client. This would create a new remote session. As the remote sessions are “rootless” this would make very little difference on the client side.
In the current implementation of NoMachine client/server protocol, while the remote application is running and showing its windows on client side the client is in “display” mode, handling protocol messages carrying information about graphics and input events. The client should go back in “negotiation” mode in order to ask the server for launching a second application, but the current implementation of client is not able to do this.
Moreover, protocol changes would involve the server that should run the new application in the existing session rather than creating a new one.