Genetic mutations and new alleles
So the term allele is a broad one, and simply refers to the different versions of any piece of DNA in circulation in the gene pool - it doesn't need to refer to a gene. I can talk about the alleles at a random place in the genome.

But if we proceed with your question and ask - 'do nonsense mutations within coding genes also lead to the creation of different proteins' - the answer is 'sometimes'. A nonsense mutation is just one that introduces a stop codon. The result is an mRNA that codes for a shortened protein. Sometimes, the mRNA will be recognized as faulty and degraded, and so little to no protein gets made. Sometimes, if made, that protein will be unstable, or the result will be as if no protein had been made. Sometimes though, the protein will be stable, and could hang around uselessly, or even do damage.