Well, granted that the CD/DVD would be protected from the effects of an EMP from a nuclear burst (since that is an electromagnetic pulse). But, an artificially generated pulse is effected through the generation of microwaves. So, there is a chance that the artificially generated EMP could cook the data on the CD/DVD, depending on proximity.

However, in a nuclear burst, the heat and flash would probably vaporize the CD/DVD pretty effectively, too.