I don’t consider this a real threat but whoever made it may not have any real idea what the outcome of a large nuclear blast in Yellowstone would have, it might not awaken the dormant supervolcano at all, therefore amounting to a first strike with no strategic value quickly followed by total destruction of Russia by sensibly targeted missiles.
It sounds like a nonsense threat to me too but to entertain the hypothetical;
If their nukes did initiate a major super-volcano eruption no one would care about the radioactivity from the nukes.
It would be like worrying that the enemy’s fragmentation grenades had a coat of lead based paint on them.