Nyquist isn't about such assumptions at all. It is an information theoretic value, based on the provable claim that there is zero information present in the original analog waveform that is not represented in the digital version.
Yes, your filters, DAC and speaker wire could still create a less than ideal listening situation, but the fundamental aspect of the Nyquist frequency is not concerned with any of that.
There is zero information present in a waveform that is not contained in the digital version, if that original waveform is confined below the Nyquist limit. Either it is that way already, or else is derived from an original-original waveform that isn't, by low-pass filtering.
That's an excellent coda/qualification of what I said. Put into a more listener centric context: there's no audible information in a waveform that is not captured by sampling it at 44.1khz.
Yes, your filters, DAC and speaker wire could still create a less than ideal listening situation, but the fundamental aspect of the Nyquist frequency is not concerned with any of that.