Should Nozzle loads be checked against allowables in Hydrotest case ?

I guess it would depend on what nozzle you're considering. If it's a pump nozzle, you have mechanical limits to prevent distortion of thte casing and mis-alignment. Since the pump's not spinning in the hydrotest and since the pump can withstand the hydrotest pressure, then you may want to just compare pump loads to some multiple of the (API 610) limit. I think I saw 1.5 in WRC 449.

A vessel nozzle, designed on material failure (rather than distortion), is a different situation. You don't want the nozzle to "fail". I would point you to para. 302.2.4 - Allowances for Pressure and Temperature Variations - in B31.3 if that's your code of choice. This paragraph states that, (b), nominal pressure stress shall not exceed the yield strength at temperature and, (c), combined longitudinal stress shall not exceed the limits established in para. 302.3.6. Para. 302.3.6 says these weight and pressure variations must keep the calculated stress below 1.33S. Certainly check the added weight due to water when testing a line intended for vapor service.