A few hundreds of meters down and the nuke risk is negligible. You can stockpile enough for hundreds of years at ~0 shipping cost. You can set up fortified ducts/purification systems to get oxygen from the surface -- with backup allowing a small population to live long enough for the surface to get tolerable.
Heck, even a full blown self-sustaining underground habitat doesn't seem out of question, since there's water readily available, plenty of perhaps geothermal or nuclear power power, and construction minerals. Destroying the Mars habitat might not be too much more difficult comparing to destroying this colony. If it has less than 10,000 or so colonists the US gov. or similar might even have a chance of keeping its location in secrecy.
Sure it doesn't cover all possible scenarios, but in terms of backup a conflict-resistant habitat here on Earth seems like the best bang for your buck.
Welcome to Zion.