There is no way to move the item and maintain the history to the item as well.
The only way to potentially do this would be to create another field on the item that has a link to the original history list page. You can do this by create a hyperlink or text field and then insert a reference to the "Workflow Status URL" link. Then when the item is copied to another location the link will be maintained and the user can click it and be sent back to th history on the original item.
This will only work if the original item still exists and the history page is maintained.
The way the history works does not allow for it to be moved with an item, the informaiton is stored within the SharePoint content and Nintex content dbs.