Many simply don’t have the resources to build them: money, expertise, natural resources, supply chains, equipment. It’s not exactly something you can do in secret either and most countries don’t want to risk becoming a pariah state.
Few countries have them because of non proliferation treaties, not wanting to become a pariah, and most simply don’t need them. For the vast majority of countries the cost of creating and maintaining these weapons isn’t worth it especially when they have a much stronger military ally who already has them.
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