Whether a missile (carrying a nuclear warhead or otherwise) can be intercept or not depends on the delivery system, number of missiles fired at once and the effectiveness of the air defense system of the country being attacked.
Most countries have developed ballist missiles and cruise missile as their main delivery systems. Both types of missiles can be intercepted with quite high degree of accuracy using modern layered SAMS.
The problem is, if it's a nuclear war, your enemy is not going to fire one or two missiles, it's going to be a barrage of them (probably hundreds) from submarines, SILOS, bombers etc. Intercepting all of them is nearly impossible, and even if it's just a few that passes through your air defense system it is more than enough to wipe out entire cities in your country.
There is no winning nuclear war, nuclear weapons are simply a deterrent as no country is crazy enough to use them. If you do you can be assured of an equal destruction in your country.
