I felt that same unease. It's very unlikely Yemeni rebels could get their hands on a nuclear device, and even more unlikely it would be small enough to launch on a rocket. But not impossible.
The country that gave the Houthis intermediate range ballistic missiles is also capable of developing pistol-type fission bombs if current estimates of the country's uranium enrichment capabilities are to be believed.
Aren't pistol/gun types typically plutonium? I though 235 needed the fancy explosive lenses.
No, U235 weapons can be the 'cannon' type. That was the type of bomb used on Hiroshima.