Do skull bones have pain nerves (nociceptors)?
Yes, bones can be innervated. I say "can be" because although I'm not certain that ALL are, I know that most are. "Innervation" is your key word to learning more about the presence or absence of nerves reaching to any body part. Googling "are bones innervated" yields plentiful results, but the short answer is yes. 

If you were to chop your leg off with surrounding tissue numbed, you would still feel it for this same reason.