Well, I don't know. It was always far too easy to build a nuke in both HoI2 and HoI3. There should be some requirements other than just research. For instance, in HoI3 you got some strategic resources that could speed up the research so Germany gets its nukes before the USA. But that was not good because as Yugoslavia, or some other regional/small nation I get it too just a year later.
Maybe to do the research beyond some point at all you need some resource? Say, you can research theory just fine, but when it comes to fuel analysis and reactor construction, you must have some uranium source? Add it as a map resource (that could be traded, exploited and so on, like any other resource) that you must have certain amount of if you want to build reactor in the first place. That way only big nations with a huge economy can hope to build it, while some smaller nations grow in strategic importance. Like Norway, Congo, Czechoslovakia and so on. If you do not have resources needed, you need to trade for them or capture them, while the enemy tries to stop you - like Allies tried to stop Germany in Norway. Make it a real war and a race to a super weapon.
Having 3-4 research options takes all the fun out of it. That way anyone can do it no matter how strong. As topekaguy1988 said above, nations like Tanu Tuva or Albania could field nukes by 1945-46 if they focus their research on it. And for a game that busted realism for the sake of gameplay, I think a line has to be drawn somewhere. Might as well be nukes, make it a more fun thing to do.
As for the damage, I am not sure how state damage calculation works. For instance, how is bombing damage calculated? If it is state wide, then I guess nukes will do it as well. But that again is not right, nukes did not have that much power. As far as division damage, I think only light damage and a complete loss of organization would be realistic. Division were not deployed in so dense formations that a nuke (with damage radius of a few kilometers) would do much damage to a division in a game sense. You nuke a province, that is tens or hundreds of kilometers wide so hitting a division right in the middle is a bit hard.
