As the question goes, is there a way to get conky work even when is the system is locked?
This is possible with xscreensaver:
1) Install xscreensaver
sudo apt-get install xscreensaver xscreensaver-data
2) run "xscreenserver-demo" once in order to create an initial configuration file
3) Edit the configuration file .xscreensaver in your home directory
4) Append the following line to the list of programs (in my case, directly after the line containing
"unicode -root \n\")
"Conky" conky -q --window-id=$XSCREENSAVER_WINDOW -c ~/.conkyrc-screensaver \n\
5) Put your conky config file under the name .conkyrc-screensaver in your home directory.
Here an example for a sample conky config file for displaying the cpu load:
wget http://pastebin.com/raw.php?i=iBD8bHqj -O ~/.conkyrc-screensaver
6) Start the xscreensaver daemon and open settings in the opening window
7) Select "Conky" as screensaver
You can find more information on how to set xscreensaver as default screensaver in Configure screensaver in Ubuntu.