We report on vortex-solitons generated in dye-doped nematic liquid crystals by a purely optothermal nonlocal nonlinearity. This response not only supports stable doughnut-shaped ordinary-wave beams with orbital angular momentum, but also provides self-confined solitary waves with excellent trajectory and profile stability over time. Using an interferometric technique, we also investigate the role of nonlocal nonlinearity in the non-illuminated axial region.