Tactical nuclear weapons have been used as gun ammunition. There's no fundamental reason why even heavier payloads couldn't be sent on their way that way, but it's not convenient compared to bombs and missiles, especially since the artillery piece would be unwieldy. However, that's hardly a problem for a devil.
Denji is the perfect underling for Makima. All of her tricks work on him 90-100%. I'll leave the margin of 10% aside because Makima is obviously intelligent, while Denji is about as smart as a rubber boot, so there's always a chance for simple miscommunication between them, plus intelligent people often can't imagine all the idiotic things fools might suddenly pull off.
The writing is pretty good in this show, I have to admit that. I have certain extra respect for stories that have good writing for stupid stuff. I know I wouldn't be capable of it, so I respect it more than I would just the usual kind of good writing.