Also the Scorpion wreck has been surveyed twice and imaging shows the nuclear weapons are still there in the wreck. Wreck is ~3k meters deep, so no one is going down there to get themselves a 1960s vintage nuke whose only value is the fissile material.
An entity capable of executing that recovery operation is capable of making their own, buying one from a less savory nation state, etc.
If you think about it, the actual disposable wealth of a lot of small nations is probably less than what Cameron himself could marshal and spend if he wanted to. A nation in the best case needs to get the buy in of its people and administrators in order to spend a large sum of money on an expensive project. The budget for that project has to compete with all of the other expenses and ambitions that the nation has.
The difference is that for James Cameron's projects could rely on buying existing expertise from contractors. A small nation has to build that themselves in secret.
They could be nice honeypot locations for the US to continuously monitor, to see who turns up with robotic submersibles. An early warning system for identifying actors with nuclear aspirations.
It's already enriched and comes with a working design.
For a non-nuclear nation, that would be all they'd need to become a nuclear nation.
Then blow it up in a test explosion to show the world, and then they could work slowly on making another bomb while bluffing that they have lots ready to go.
An entity capable of executing that recovery operation is capable of making their own, buying one from a less savory nation state, etc.