They don't have them because when they do we'll know about it.
I think that they do have some of man-portable nukes and are sitting on them for something further down the road. So you might ask "What would make them wait?" I don't know, but those animals do things for a reason. They won't use them now because they still want to see if the US can be used to incite an Islamic revolution in Saudi Arabia.
When the House of Saud falls, you couldn't pay me to be in a NYC, DC, LA or Chicago after that. If they are going to try nuclear blackmail, it will likely be used to force us out of the region or one of our population centers gets it. The only sticking point with that plan would be the retaliatory strike from us that would pave the deserts with low-quality glass and send mid-east sand and gravel flying all the way to to France.