I'm pretty amazed there hasn't been one yet. They've been threatened for decades but nothing's happened yet. There've got to be enough nuclear or toxic gaps out there.
The technology is not that simple. Also, highly enriched Uranium is very difficult to get. Enriching low quality Uranium to weapons grade Uranium is extremely difficult, so the only option is to steal highly enriched nuclear material from weapons and stockpiles. There were rumors that such incidents occurred during the immediate aftermath of the dissolution of the USSR.