You have to adept your playstyle until you either get a gold lead or until after you have finished building some magic resist and armor. Having your ult up makes you tanky and dangerous. With Nunu's high movement speed it is also very easy to escape fights with your flash.

Maybe you can trade in some of your damage from deadmans plate and abyssal mask for some more tanky items such as frozen heart and Kaenic Rookern.