You cannot open Cakewalk files (cwp, cwb, wrk, bun) on Nuendo. But there's a way to open your Cakewalk project in another audio/sequencer application. If it's midi only project, then try export the file as .mid. Most sequencer will allow you to open .mid file. If it contains audio, then try export the audio as wave (either .wav or .omf on Cakewalk Sonar 2.1 and above). Cakewalk prior to Sonar 2.1 won't export .omf.