I'd wager the nuke didn't get them all. Wolf got a lot of the ones in the sewer system, but there was a lot of time between that fight and the end of the movie. Basements, sewers, personal storm shelters, schools and other buildings that may have been equipped to act as shelters during attacks or natural disasters. The only way to guarantee a successful nuclear clean up, is to take that big ol' firecracker and shove it straight in Alien #1's pie hole.
As for why the movies are set on earth, I'd wager it's for both budget and narrative reason. Its easy to feel detached when stuff is happening on spaceships hundreds of years in the future. To see it happening in a modern town is unsettling, not to mention cheaper.