A fair number of experts, for example, former CIA director Woolsey, consider a nuclear EMP attack to be a serious threat to America. This is where someone detonates a nuke, possibly a specially designed one, above our atmosphere, and the gamma radiation causes an electromagnetic storm which destroys electronics.
Due to normalcy bias, people are seriously underestimating the risks that this happens to America, sometime in the next few years, due to the NORKS, Iran, or even Russia or the PRC.
Beyond the nuclear EMP, there is a risk of a natural EMP which would be caused by a coronal ejection from the sun. NASA estimates that there is a 12% risk, per decade, of a massive event which would have enormous possibly catastrophic effects on earth.
So if you are storing your bitcoin a USB in your house, and another one in the bank vault down the street, that may seem like it's backed up, but an EMP could destroy both backups. Similarly, a severe weather event could do the same.
I'm not sure if a nuclear EMP would be an existential threat to bitcoin. Like if that went down, maybe bitcoin would just be destroyed forever. But it seems prudent to consider these risks.