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.
A nuke is NOT a firecracker.

A nuke takes a LOT of sophisticated engineering.

He COULD hold them in reserve.

But, as I said above, he'd be HOPING that they would work.

The first time.

Under combat conditions.

Without testing.

Again, he COULD do that.

In which case, how is Iraq a threat to us?

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.
We aren't. It's the oil. The Saudi's just happen to be sitting on it (and pretend to be, somewhat, US-friendly).