We investigate the effect of nonlocal interactions on the photo-doped Mott insulating state of the two-dimensional Hubbard model using a nonequilibrium generalization of the dynamical cluster approximation. In particular, we compare the situation where the excitonic states are lying within the continuum of doublon-holon excitations to a set-up where the excitons appear within the Mott gap. In the first case, the creation of nearest-neighbor doublon-holon pairs by excitations across the Mott gap results in enhanced excitonic correlations, but these excitons quickly decay into uncorrelated doublons and holons. In the second case, photo-excitation results in long-lived excitonic states. While in a low-temperature equilibrium state, excitonic features are usually not evident in single-particle observables such as the photoemission spectrum, we show that the photo-excited nonequilibrium system can exhibit in-gap states associated with the excitons. The comparison with exact-diagonalization results for small clusters allows us to identify the signatures of the excitons in the photo-emission spectrum.