In order to build a nuclear bomb you need enriched uranium or plutonium. There are a few different ways of enriching these materials but they are all very difficult even without any sanctions and they require extremely good manufacturing components. So good components that only a handful of companies around the world could even attempt making them. And these companies knows exactly what these components can be used for and works with the police.
That means that not only is in very hard to make enriched nuclear matter and would require a huge investment. But you would also be facing international sanctions as everyone would notice which specific components you buy on the international market and either stop the transfer of that those components or sabotage you in some way.
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