No private person has sufficient funds to develop a nuclear weapon, so we need not really worry about this possibility.
Suppose a suspected terrorist, who is an American citizen, purchases a nuclear bomb from, say, some unscrupulous Russian arms dealer. Then this terrorist comes back to America. The FBI knows that he's a suspected terrorist and knows that he has a nuclear bomb in his possession, but according to this person, since he is (so far) a law-abiding American citizen, we should not be able to do anything about the fact that he has a nuclear bomb, because it should be okay for people in America to be carrying nukes around.