In this work, we consider the discretization of some nonlinear Fokker-Planck-Kolmogorov equations. The scheme we propose preserves the non-negativity of the solution, conserves the mass and, as the discretization parameters tend to zero, has limit measure-valued trajectories which are shown to solve the equation. This convergence result is proved by assuming only that the coefficients are continuous and satisfy a suitable linear growth property with respect to the space variable. In particular, under these assumptions, we obtain a new proof of existence of solutions for such equations. We apply our results to several examples, including Mean Field Games systems and variations of the Hughes model for pedestrian dynamics.