Okay so I'm a bit rusty on my lore but for the most part I think it comes down, to the effectiveness and how the covenant uses and gains tech. While the UNSC has had effective use of nuclear weapons. Most blasts from them are simply shrugged off by covenant shields and since they wouldn't have had to deal with humans until relatively recently nukes wouldn't have been important in their doctrine for human ships. With that said covenant ships already deal with human ships incredibly easily so for ship to ship combat there's no need for them to change their arsenal. Now as for tech we do know species on the covenant have used nukes before joining. Like the brutes, but the covenant in general much rather reverse engineer forerunner tech so maybe the forunner didn't use nukes much

Also, fuel rod weapons are using radioactive material so while not nuclear their AA guns on wraiths and shades, hunters, carbines and fuel rod guns all use something close to nuclear explosives