Benzos have nearly 100% bioavailability orally, and in fact generally have lower BA nasally than orally. So there's really no reason to try to take them nasally.
I am not sure what the liquid for the nasal spray would be. It would have to be alcohol, or propylene glycol, or maybe DMSO or something, as benzos don't dissolve in water. I wouldn't want any of those solvents in my nose.