Couple things.
1. Just because the Collective likely couldn't successfully assimilate the Prophets, it doesn't logically follow that they wouldn't consistently try, and refine their attempts in doing so. The Borg are nothing if not persistent.
2. I don't believe nano-probes are the one-and-only method the Borg have of assimilation. Alternative canon examples being the "Assimilation virus" the Queen pitches to Seven as a long-distance strike against Earth, and her entirely biological approach to assimilating Data in First Contact. Seven's attempt to link the Voyager away team in Scorpion into a "temporary collective" is presented as if it would have been viably accomplished without means of nano-probes. Early TNG Borg are described as having received surgical alterations with no mention of nano-probes.
3. The Borg comprehend multidimensional physics (transwarp), and appear to command a "production-quality" grasp of time travel (First Contact). I don't think they could successfully assimilate the Prophets, but they might theoretically be able to get a lot closer to achieving it than most of us are assuming... Whereupon the Prophets would, of course, have seen it coming a mile away, prevented that stream of events, and then sent the Borg back out of the wormhole "changed" like they did with Zek that one time. Maybe even make them more benevolent, Caeliar-like, "restored to a previous phase of their existence" and all that.
I think we can all agree, though, that the Borg would definitely comprehend at a competent level what the Prophets are and what they represent, and would most likely make 'aggressive, adversarial' cybernetic linear nuisances of themselves pestering the wormhole aliens until something set them straight. Whether that's just an endless sequence of Borg ships cut-and-pasted to oblivion 'til they decide to cut their losses, or the wholesale reformatting of the Borg Collective to a less conquer-driven ideology, is up to the interpretation of the author. I suppose the real question is, how quickly do nonlinear beings lose their patience?
