Has the use of nuclear weapons been threatened?

Yes, here are a few examples in history of such threats:

NUCLEAR WEAPON CRISES 1946 - 1985
Incident Year  Length of  Crisis Threat By Weapons Held by US Weapons Held by USSR
IRAN I 

1946 

One day USA 40 0
YUGOSLAVIA

1946 

 One day USA 40 0
BERLIN 1

1948 

 15 months USA 120 0
KOREA

1950

 36 months USA 400 ?
VIETNAM 1

1954

 3 months USA 1200 ?
CHINA 1

1954

 8 months USA 1200 ?
SUEZ

1956

 7 days USSR/USA 2100 60
CHINA 2 1958 2 months USA 3000 110
BERLIN 2 1959 4 months USA 3200 175
BERLIN 3

1961

 4 months USA 3600 240
CUBA

1962

 2 weeks USSA/USA 3900 300
VIETNAM 2

1969

 3 months USA 4000 1400
JORDAN

1970

 2 weeks USA 4000 1800
ISRAEL

1973

 19 days USA 6800 2200
IRAN 2

1980

 6 months USA 10312 6846
                                      

Source:  David Morgan, VANA