In a virialized stellar system, the mean-square velocity is a direct tracer of the energy per unit mass of the system. Here, we exploit this to estimate and compare root-mean-square velocities for a large sample of nuclear star clusters and their host (late- or early-type) galaxies. Traditional observables, such as the radial surface brightness and second-order velocity moment profiles, are subject to short-term variations due to individual episodes of matter infall and/or star formation. The total mass, energy and angular momentum, on the other hand, are approximately conserved. Thus, the total energy and angular momentum more directly probe the formation of galaxies and their nuclear star clusters, by offering access to more fundamental properties of the nuclear cluster-galaxy system than traditional observables. We find that there is a strong correlation, in fact a near equality, between the root-mean-square velocity of a nuclear star cluster and that of its host. Thus, the energy per unit mass of a nuclear star cluster is always comparable to that of its host galaxy. We interpret this as evidence that nuclear star clusters do not form independently of their host galaxies, but rather that their formation and subsequent evolution are coupled. We discuss how our results can potentially be used to offer a clear and observationally testable prediction to distinguish between the different nuclear star cluster formation scenarios, and/or quantify their relative contributions.