But classifying risks is one thing. Worrying in your daily life to the point of opposing a public policy is another. An asteroid wiping out life on earth is an even fatter tail risk, but the probability is so low that it is not worth worrying about. People have not rational reason to worry about ebola, terrorism, or plane crashes.
You assume you know the probability distributions, you compare them and determine that nuclear will kill less than coal burning.
Except that you might have never observed a black swan event before (eg. massive sabotage of nuclear plants).
So the probability distributions you inferred from past events might be wrong.
The case of a lottery is different as the probability distribution of outcomes can be determined with certainty.