The 20-year-old impressed during his initial spell at the League Two side and Roberto Martinez is keen for him to continue there.
The young goalkeeper returned to Wigan last week but has now been sent back to Northampton for the remainder of the campaign.
Martinez said: "His performances so far have been fantastic and he is improving with every game, which is making him a big part of Northampton's team.
"We will be keeping a close eye on Lee because he is a fantastic prospect for the future and has a great attitude."
Wigan inserted a clause in the rookie's contract to allow them to recall Nicholls if necessary, but they must give Northampton 24 hours notice.