It's actually more possible than you think. While it's not practical to sell a fully constructed nuclear device, there are underground cells who could, repeat, COULD come into contact with parts to build a nuclear device with a big enough yield to get people's attention. Terrorist cells work in strong connection with these "black markets" all the time, so that's why this scenario is possible.
I feel that much more safer that my mock EAS message in Chicago was proudly brought to me by Comcast!! Nothing like a little free advertisement just in case you survive right? (Facepalm). What next? The end of the world message is proudly delivered by Google? Corporate arrogance at its finest.
if this were to happen in real life i would be safe in good ol' twin cities area though i would still get in a fallout shelter just to be safe and not to get poisoned by radioactivity :)