How it works is that they can burn NuBits by issuing new NuShares in their place. Essentially, if it begins to fail, they can lose some of their equity instead of letting the thing completely collapse.
In Bitshares terms, it is as if the 'cover bitUSD short' created BTS and gave it to the former bitUSD owner. (Instead of unlocking BTS that was tied up in collateral and giving it to the former bitUSD owner).
This action would have to be voted on by NuShares holders.
The way that NuShares gets value is because they get dividends in Peercoins, but I'm not certain how this works exactly.