No, the cell lysate can be used directly without deproteinization. Here is a sample protocol on how to prepare HL60 Cell Lysate for use in both NAD/NADH and NADP/NADPH assays:
1 mL of HL 60 cells (1~2X10^6 cells/mL)
Centrifuge to remove medium
Add 200 µL lysis buffer to the cell pellet
Incubate 15 min at 37°C
Centrifuge 5 min to remove cell pellet
The supernatant can be used directly as the sample