Understanding and manipulating the non-Hermitian optical property based on coherent atomic gases is of great importance and has attracted much theoretical and experimental attentions. Advancing this study to the nonlinear optics regime is highly desirable due to its importance in fundamental physics and potential applications. In this work, we propose to realize a tunable electromagnetically induced grating (EIG) with parity-time (PT ) symmetry in a cold gas of Rydberg atoms, where interatomic interactions between Rydberg states are mapped to strong and long-range optical interactions, and investigate nonlinear light diffractions in this system. We show that for far-field diffraction, laser beams incident upon the PT -symmetric EIG display distinctive asymmetric diffraction fringes, which can be actively manipulated through tuning the gain-absorption coefficient of the EIG, the incident intensity of the laser beam, and the nonlocality provided by Rydberg atoms. For near-field diffraction, the nonlinear Talbot diffraction carpets emerge and can be modulated by PT symmetry in the presence of strong nonlocal interactions, allowing the realization of controllable optical self-imaging. The results are not only imperative for the study of non-Hermitian nonlinear optics but also useful for characterizing the interatomic interaction in Rydberg gases and for designing new optical devices useful in optical information processing and transmission.