As this point I feel like a threat from within is the only thing that could deal any real damage to Nazarick.
Even though the dragons have some level 100-ish NPCs and at least one packs a World Item, I don't think they'd have the sheer numbers to overwhelm Nazarick, nor the cooperation to pull it off.
An alliance of 1,500 players and NPCs failed to break through Victim and his floor. They were probably not all level 100 but even if at least 20-ish of them were that still makes for a more impressive force than anything the dragons could scrape together.
The biggest threat to Nazarick would probably be even one Ainz Ooal Gown player coming back and either deciding that Momonga has lost his fucking mind or getting antagonized by Albedo, then hello civil war