In this paper, we intend to utilize the generalized scalar auxiliary variable (GSAV) approach proposed in recent paper [SIAM J. Numer. Anal., 60 (2022), 1905-1931 for the nonlocal coupled sine-Gordon equation to construct a class of fully decoupled, linear and second-order accurate energy-preserving scheme. The unconditional unique solvability and discrete energy conservation law of the proposed scheme are rigorously discussed, and the unconditional convergence is then proved by the mathematical induction. Particularly, the convergence analysis covers the proposed scheme in multiple dimensions due to the corresponding nonlinear terms satisfy the global Lipschitz continuity straightforwardly. Finally, time evolution of dynamical behaviour of the governing equation with different nonlocal parameters are observed, and ample numerical comparisons demonstrate that the proposed scheme enjoys the high efficiency in long-time computations.