As someone who has dealt with a lot of this kind of nonsense - your first port of call should be Snapchat. Make a complaint to them. I am assuming you're under 18 if you're worried about your parents. If you go to police, it is going to be very very difficult to keep your parents out of this, and one of the first things that police will want to know is whether you are actually going to support any action by them. If the answer is no, then the whole thing is dead in the water - like there is literally no point in any of it, and it gets recorded as yet another crime that nothing can be done about.
Having said that, you can see how it will sound to Snapchat, or indeed anyone else. "I sent this guy my nudes, and now I'm worried that he has the nudes I sent him." If he hasn't actually made any threats to you, then he hasn't actually done anything wrong. (EDIT*) - aside of course from any potential IIC offence, but depending on how old he is, that might not even be much of an issue.