North Korea would just give the nuke to terrorists. It's a nuke, it doesn't need to be on a missile.
Funny thing about nuclear warheads: most people don't realize that only the really advanced/expensive/sophisticated ones are actually portable. North Korea's most advanced warhead likely weighs three or four tones and comes in a casing the size of a compact car. Just "giving" it to terrorists is unlikely to be all that simple, let alone transporting it to anything worth bombing.
Actually, North Korea would be better off smuggling the warhead to China and then FedExing it to New York along with a shipment of sneakers.
Good way to get it past customs, at least. "Shipping manifest says that ship is carrying a nuke.... that's gotta be a typo, right? They must mean Nike."