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.
It isn´t about how effective or sophisticated the material is. It´s the psychological effect that counts. So, when and if it goes off above a city the authorities will be busy trying to convince the population that it´s relatively harmless, which it may be if it´s material from hospitals or research institutes, but at this point almost nobody with a pulse believes them. So, this downplaying will only backfire. If it´s radioactive it´ll create panic and havoc. And of course require cleanup anyway which will be hugely expensive.