Nuclear weapons development is expensive and time consuming, not to mention easily detectable. It could take you years to aquire and build the necessary industry to manufacture weapons-grade material. Even after that, you still have to design, build and test your first device before anyone takes you seriously. Purchasing existing nuclear hardware is also expensive and risky. Most governments are on the lookout for such activity.
Many dealers are crooked.
Even if you succeed purchasing through the black market, you stand the risk of getting on the wrong side of international opinion. You could lose existing conventional arms contracts, face economic sanctions or even military action. With a lease you avoid a lot of other problems too. Since the weapons are not on your property, you avoid becoming a target yourself. You can forget about the high cost of security, environmental pollution concerns and even subversion by renegade generals in your own army.