Explosives contain their own oxidizers, so even a conventional bomb would explode in space. A nuclear bomb, either fission or fusion, would also explode. And there WOULD be a shock wave. All that stuff that used to be in the bomb casing is matter, not vacuum, and carries the full force of the explosion in a wavefront.
A nuclear reaction is not something burning, even though there's really a lot of heat produced. Since it's not something being burned, oxygen plays no part in it.
The sun's fusion reaction is supported by its own weight, gravity slamming hydrogen atoms together with enough force to make helium atoms and all sorts of fun radiations, including heat.
You couldn't light a rag in a bottle of gasoline on the moon's surface and expect anything to happen. You could surprise your friends with a grenade, though, or wipe them out with a thermonuclear device. Those would work just fine.
There is no lack of blast, and there is no lack of heat. Saying that without air you can't have a blast wave is not exactly correct.
A supernova is a very effective thermonuclear explosion. Quite large, very bright, cleans out anything in its path, and expands for centuries.
Tell us again, please, how lack of oxygen dilutes the effects?
