Louise Femsone gave the favourites a 26th-minute lead, heading home a Sophie Wyatt corner.
St Nicks – crowned County League champions at the weekend – went in just the one goal down at the break, with goalkeeper Lauren White denying the Robins a second.
Midway through the second half, it was all square after Lauren Ellis turned in a cross and St Nicholas might have won it but for Rebecca Rexworthy’s effort coming down off the underside of the crossbar and being cleared.
When it came down to a shoot-out, St Nicks were again denied the trophy by the woodwork, Rose Knuckey eventually converting the decider in sudden-death for a 5-4 Cheltenham victory.
