I don't think The Vatican is big enough to house even one nuke, and where would you put it?
They have a whole lot of Vaults for that kind of thing. I'm sure they could find a space for it between the canister of antimatter and the document proving that we are all just characters in The Sims...
ETR:
It took the US and its industrial and scientific might (Along with dozens of refugee scientists and Albert Einstein's encouragement) more than a year to build a relatively weak atomic bomb. Granted, this was in WWII, but no country is likely to rush the program that fast, nor could they do open tests like America could. Basically, it's almost impossible to sneak a nuclear test somewhere, because the seismic activity and radiation generated is highly noticeable, even when detonated underground.
Back then, it wasn't a (by others) tried and tested technology. The bomb dropped on Hiroshima was previously untested
1, being not the type of device tested as Trinity and then used against Nagasaki. Just as they had twinges of doubt that Trinity
might set the whole Earth's atmosphere into a chain reaction (enough to recalculate,
just in case), they didn't actually know
for sure that Little Boy was viable.
Now, everybody knows. A high-school physics book has enough details to make
something work (assuming you have the materials) and a college-level one can probably even make it work decently enough that you don't have to 'risk' merely creating a massively dirty semi-conventional weapon with your various components.
Sure, to finesse a bomb (and to make it fit on the rocket you might have been building) needs tests. If you're happy to put it in a shipping container and slip it past your target's border security then that's just unnecessary. Just remember that it's best to fire the hole over the plug (and into the tamper surround), if that's your chosen design. Or go with a
hollow sphere in the 'implosion' type.
1 There had been talk of using a bomb in an announced "non-combat" mission to where the Japanese could observe, without suffering losses but seeing its power, but the risks of announcing the test and it failing, or the Japanese launching an attack upon the demonstration bomber and causing failure by one means or another, was feared more than "dropping a dud" in the actual first-time attack.