He tests a nuke, he's showed the world that he's got them and thus justifies some sort of military action. Holding them in reserve, he can claim he doesn't have them.
Wherever he may have gotten them, if in fact he actually has any (either from former USSR stocks, or home-built), it would be dangerous. Me, given Saudi instability, and Saudi funded terrorism, I'm not real sure I'd be much in favor of spending our lives and money protecting them.