The most common and most likely answer to this crossword clue is the 3 plus 5 letter word BIG STICK
I've seen this crossword clue in Financial Times
B
I
G
S
T
I
C
K
Buddy explains!
The straight part
We know that "nasty thre/a/t" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case nasty thre/a/t = big stick.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.