Nuclear Forensics
Both U-235 and Pu-239 are enriched and purified out of mixture of other elements and chemicals. Even after purification, some of those other materials are left. The precise mixture of other materials can often be used to "fingerprint" the origin of the fissile material. Naturally, this is something that is easier to do in the lab with a big chunk of unexploded material. And improvised weapons, such as might be used by a non-state actor, would have some probability to be either detected, or to fail.
However, it can also be done (with more difficulty) after a detonation. Graham Allison has written a nice short article on post-use forensics. The Federation of American Scientists also discusses post-use nuclear forensics.
In short, undetonated material is extremely likely to be traceable; and detonated material may also possibly be traced. Both of these form strong deterrents for states not to provide weapons to non-state actors.
UPDATE: Another view of state-based deterrance was related to me by an author who became relatively well-known during the run-up to the Iraq war. (Unlike one K. Pollack, this author was proved right in almost every detail.) He told me that he had asked an Air Force general how they would trace back to figure out whether Tehran, Bagdad, or Pyongyang was behind it in case of a nuclear terror attack. The general's response: "Why choose?" I can only assume this remains the American strategic stance.
UPDATE 2: I am guessing that the moly contamination I mentioned in another post probably makes Iranian weapons some of the easiest in the world to identify.

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