I am pretty sure a movie alleges that nuclear weapons couls have disappeared after the Cold War. Call of Duty uses it as plot points. I saw a history film on the Davy Crocket nuclear system and it got me thinking. Did the USSR in its closing days have a prptocal that was in place and followed to insure that the new Russian state maintained complete control? Are any missing?
See this thread here for a long of fairly recent discussion of the "loose nukes" question. Short answer: no evidence really that any "loose nukes" are accounted for, but it's hard to be certain about it.
In general, there were several Soviet successor states (Belarus, Ukraine, Kazakhstan) that were in possession of nuclear weapons at the end of the Cold War. None of these states had the ability to maintain or manufacture these weapons (the infrastructure was in Russia), and it is not clear they would have been able to use them either (the "codes" were in Russia). After negotiations, all of these weapons were transferred to Russian custody. This is particular notable in the case of Ukraine as there were promises extracted about the willingness of Western powers to come to their aid should Russia do something like attack them (an issue that has come up a lot recently what with the Russian activity in the eastern part of the country, the seizing of Crimea, etc.).