What should happen in 3 different but related situations. We will refer to the lemming as "Lemming Z".
Situation 1: Lemming Z is already a zombie. You hit the nuke button.
What should happen: Lemming Z is ignored by the nuking.
Situation 2: Lemming Z is not yet a zombie. You hit the nuke button. Before Lemming Z's countdown starts, he becomes a zombie.
What should happen: Lemming Z is ignored by the nuking.
Situation 3: Lemming Z is not yet a zombie. You hit the nuke button. Lemming Z's countdown starts. While it's counting down, he becomes a zombie.
What should happen: Lemming Z's countdown continues and he eventually explodes. This is in line with "zombies keep doing what they were doing beforehand, you just can't give them any new instructions".
Any deviation from these is a bug.
Of these, situation 1 and 3 are very clear-cut IMO. Situation 2 is a bit more debatable, though I still think the current behaviour is the best.