Because the MHP relies on certain infrastructure to exist (accellerators, laboratories, chain reactors, heavy water plants, etc). So instead of filling the build queue with heaps of buildings it is simulated through one building, as the loss of one of the required infrastructure buildings renders a nuclear program halted.
Thus, a national wonder which is essentially a building, as opposed to a project which has no tangible location.
It also provides greater strategic depth as it allows someone to "target your enemies nuclear program".
PS: You may notice in RtW the nuclear program is simulated by laboratories, chain reactors and MHP. A civ requires all three buildings to exist in cities to be able to build nuclear weapons (among other requirements).