Ive learned how to divert this behaviour in a very slick way. As we know women have no damn hobbies, so while youre doing yours, she wants attention, shes bored, she wants you to focus on her, as someone mentioned earlier, you're the leader, she's the follower, if you give them nothing to follow, they start to bug . What I do is give an indirect order/errand.
soon as the nagging starts, I pause the game. "Hey can you do me a favor? Can you help me with the dishes"
pay attention to how I worded that. It's a command, but it doesn't appear to be a command, it appears although I am asking for assistance, it appears although she's doing something for me. I didn't mention "do" "clean" and start off with asking for a favor which makes it even harder to say no. Now just replace dishes for whatever else like folding or washing clothes or look up a recipe on youtube. This gives them something to do, while you unpause the game and have your alone time.