So, the main reason I play the HOI series is to nuke the entire world with the aim of ushering in a nuclear winter (which has never been modeled accurately imo).
What will the effects of nukes be in HOI4? Will it destroy entire provinces as usual or are the effects more limited?
Will nukes wipe out entire armies?
Also, will the use of nukes add to the casualty lists?
Nuclear winter isn't an issue in the HoI timeframe. You can't get enough nukes of the size needed for this to be even thinkable, so it's perfectly simulated in e.g. HoI3 (Remember that HoI nukes are around the same size as the 15kt bombs USA dropped on Japan when you read the ingame tech descriptions).
It seems the effects of nukes in HoI4 will be more in tune with the thermonuclear weaponry worthy of angry gods we saw developed in the 60'ies and 70'ies (Or fantasy-nukes in the HoI timeframe, depending on perspective). Apparently, it's more important that nukes are
BIG AND EXPLODEY!!!, rather than actually appropriate for the timeframe.
From graphics, it will destroy provinces like it did in earlier versions of HoI. This is in addition to the obvious effects of damaging national cohesion, again, like it did in earlier HoI games.
AFAIK, it will ahistorically damage armies. This is another result of not having time-appropriate nuclear weapons, but rather using either nuclear weapons from later decades or fantasy-nukes, and in this case also unhinging the bomb itself from any realistic delivery.
So the cinematic bomb that explodes while you hide under your desk is ingame. Any realistic portrayal of nuclear weaponry, especially in the games' timeframe, is limited to one-country-political impact and lack of worldwide fallout.