"He's recovering well and in good spirits at home."
McKee would not say much about the female Nuku was with, but said they were confident they would be speaking to her soon.
"We believe Dylan is in Wellington. We've been in contact with his family members who are willing to assist us."
Police are warning people not to approach Nuku as he is considered armed and dangerous.
McKee would not say whether the weapon used in the attack - believed to be a small, low-calibre pistol - had been found.
"Incidents like this are very unusual. I just want to reassure the public that we treat these incidents very seriously."
Police have searched a number of properties in the hunt for Nuku.
He is 158cm tall.
Police say anyone who sees him should call 111 immediately.