I think it's a threat that is so obvious that it need not be made. Though I think they would start with tactical nukes, and move to strategic ones only when NATO reacts with nukes.

And the problem with threats is that they have to have credibility. In the scenario where it would be necessary for Russia to make the threat, NATO may not believe that Russia would react to war by launching a suicidal rain of nukes.

Unfortunately, this all makes wholesale destruction so much more likely.