Tell me what kind of nuke you think they have and I'll explain it to you. I don't think it's likely they have a US field artillery tactical weapon or warhead from a MIRV. I guess you're left with the mythical loose Russian nuke.
This nuke has now been purchased, stored, maintained, driven through Mexico, hoisted down a tunnel, hoisted out of the tunnel, and is now on the way to the Super Bowl in a panel truck. Why use a tunnel? Why not a boat or a small plane? Why wait until now? Was it stolen recently? Purchased from whom? Note that noone bothered to check the tunnel for residual radiation, since the idea of dragging it through of a tunnel is ludicrous.
Why use a tunnel? Because it was there, and maybe had been there for a couple of years, and was reliable and had less risk of random exposure to border agents driving or boating or flying by.