Why would it?
1. "Nuclear capability" is not binary. The available delivery mechanisms and the defensive capabilities of your adversary matter a lot.
2. MAD constrains both sides. It's unlikely that an unpopular Head of State getting kidnapped would warrant a nuclear first strike especially against a country like (Trump's) America, which would not hesitate to glass your whole country in response.
3. It's extremely risky to "try" a nuke, because even if it's shot down, does it mean your enemy treats it as a nuclear strike and responds as if it had landed? That's a very different equation from conventional missiles. E.g. Iran sends barrages of missiles because they expect most of them to be shot down. It's probably not calculating a scenario where all of them land and Israel now wants like-for-like revenge.