According to wikipedia U-56 fired three torpedoes at HMS Nelson on October 30, 1939. All three hit, all three were duds. Many sources verify this. The article continues, saying Churchill was aboard at the time and the U-boat captain became known in the Kriegsmarine as the "man who almost killed Churchill". I have found no supporting evidence that Churchill was aboard at the time of the attack (all references that do support this cite the wikipedia article). The closest I've come with other sources is that Nelson was attacked Oct 30 and on the next day, First Sea Lord Admiral of the Fleet Sir Dudley Pound and the Deputy Chief of the Air Staff Air Marshal Sir Richard Peirse visited the battleship (no Churchill). Are there any sources supporting Churchill aboard during the Oct 30 attack?
I can't absolutely prove Churchill wasn't aboard, but it doesn't seem likely to me. On the 22nd, Nelson, along with the remainder of Home Fleet had sailed to cover iron ore convoys to Narvik. This patrol was almost entirely uneventful. The only threat to the convoy came after Home Fleet had left contact, with HMS Somali attacking a submarine contact that may have been U-13. The operation lasted from the 22nd to the 30th. Churchill was in Parliament answering questions on the loss of Royal Oak on the 25th, meaning he could not have accompanied Home Fleet when it sailed. However, he could have joined Home Fleet aboard the destroyer Impulsive, though this would have required him to leave Parliament immediately after speaking, as Impulsive had left Scapa Flow late on the 25th to join Home Fleet on the 26th. After this, no ships could have joined Home Fleet with Churchill aboard. It's unlikely that he flew in, as none of the available ships carried aircraft at the time. On the 31st, the RN's official history has the visit consisting of Pound, Peirse and Churchill, but there's no evidence any of these luminaries were aboard the day before.
Sources:
Hansard, 25th October, 1939 - http://hansard.millbanksystems.com/sittings/1939/oct/25
War at Sea 1939-1945, Vol 1:3, Stephen Roskill, HMSO, various
HMS Nelson, Lt Cdr Geoffrey Mason, naval-history.net, http://www.naval-history.net/xGM-Chrono-01BB-HMS_Nelson.htm