If NATO ever has any intention of deterrence through detonating a nuke, it will be done in exactly the way it's been specifically planned and openly explained: France has a specific nuclear policy, one of the only ones, that allows them to use nukes before an adversary does. They have a specific nuclear missile fired by plane that will be used as essentially a giant warning shot.
Nobody would fire a warning shot using an ICBM, because if things are hot enough to require a warning shot, that leaves a whole lot of interpretation up to your adversary who is quite likely to respond with their own ICBMs, before finding out yours were loaded with conventional munitions to make a point.
There are however, shorter range ballistic missiles, Russia has a lot of them (the US mostly gave up mid range ballistic missiles in a nuclear treaty) and has even launched a few with concrete "nuclear warhead simulation masses" at Ukraine.
Nobody would fire a warning shot using an ICBM, because if things are hot enough to require a warning shot, that leaves a whole lot of interpretation up to your adversary who is quite likely to respond with their own ICBMs, before finding out yours were loaded with conventional munitions to make a point.
There are however, shorter range ballistic missiles, Russia has a lot of them (the US mostly gave up mid range ballistic missiles in a nuclear treaty) and has even launched a few with concrete "nuclear warhead simulation masses" at Ukraine.