A complicating factor here is that the mere threat that a small(er) nation intends to build nuclear weapons gives them "political leverage" much beyond what they might otherwise have. Since the consequences of treating such threats as "political posturing" and simply ignoring them could be disastrous(?), it's an effective form of blackmail, and dirt cheap unless someone really believes them and decides to do something about it.

But how do you tell if they're serious?

And if their threats don't work, would they get serious?

John