The risk of a failed launch and having a nuclear warhead falling on an unintended target isn’t negligible, and sending a heavy payload outside of the Earth gravitational pull is quite expensive.

Same reason why we don’t send our nuclear waste into space or the sun.

And damaging another planet in our solar system use of little scientific value compared to leaving it as-is.

The amount of radiation that is hitting mercury every minute is so big, hitting it with nukes would be a slow Tuesday in comparison.

And mercury is way too to far away and to close to the sun for us to have a good view on the explosions.

Venus is closer but the thick atmosphere would most likely prevent a great show, but launching them in high altitude could be interesting.

All in all, nice idea but not worth the hassle and risks.

It doesnt kill people so nobody is interested