Well it works a bit like this -
1) You have to construct Nuclear Weapons through the mission menu once they've been unlocked. It requires 100 military power and about 2000 ducats.
2) Let's say you ever go at war with another nuclear power, if they have more nukes than your military loses morale. (I think it was 5%-10% morale deduction)
3) If you use a nuclear weapon on a province it gains 100% destruction and the other country gets +4 war exhaustion.

that work ! thank you for you help !