Smart Locks in beta report debug information to a Nuki server. This is done via mqtt too ( 
). So this connection is ok and only exists in beta firmwares. It is not related to the local MQTT API and it is also mentioned here: How to become a Nuki Smart Lock Beta tester
The Smart Lock tries to resolve mqtt.local via MDNS first. This is something that you most likely won’t see at your DNS server. If mqtt.local does not resolve, it tries to resolve mqtt via DNS.
Have you tried an mdns browser to check if mqtt.local resolves proberly via mdns?
sudo apt-get install -y avahi-utils
avahi-resolve --name mqtt.local -v