I found 2 sources here and here that say on October 26, 1962, a U-2 flying in the arctic, navigating with a sextant, accidentally flew over Northern Siberia. According to both sources, the Soviets sent up MiG fighter aircraft to shoot it down. Apparently, the U.S. Air Force sent in F102-A fighters, armed with nuclear missiles, into Soviet Airspace to escort the U-2 home. The part I'm curious about, because it seems so incredibly horrifying, is if the decision to use those nuclear missiles was left to the pilots or not. Both sources say it was the up to the fighters discretion.
Yes. Nice write-up from the well-respected Michael Dobbs here. They were armed with Falcon air-to-air missiles, which are nuclear but relatively low yield (the Falcon warheads ranged from 0.25 to 2 kilotons depending on the model) and are only meant to be used to attack other planes. Still a scary thing to have happen in the middle of the Cuban Missile Crisis. And yes, the pilot has full authority to use them in circumstances where they are warranted (there was no way to "phone home" and get authorization with such early tactical weapons).