Spherical nucleic acids (SNAs)—nanostructures, consisting of a nanoparticle core densely functionalized with a shell of short oligonucleotide strands—are a rapidly emerging class of nanoparticle-based therapeutics with unique properties and specific applications as drug and nucleic acid delivery and gene regulation materials. In this contribution, we report on the preparation of hollow SNA nanoconstructs by co-assembly of an originally synthesized nucleolipid—a hybrid biomacromolecule, composed of a lipidic residue, covalently linked to a DNA oligonucleotide strand—with other lipids. The nucleolipid was synthesized via a click chemistry approach employing initiator-free, UV light-induced thiol-ene coupling of appropriately functionalized intermediates, performed in mild conditions using a custom-made UV light-emitting device. The SNA nanoconstructs were of a vesicular structure consisting of a self-closed bilayer membrane in which the nucleolipid was intercalated via its lipid–mimetic residue. They were in the lower nanometer size range, moderately negatively charged, and were found to carry thousands of oligonucleotide strands per particle, corresponding to a grafting density comparable to that of other SNA structures. The surface density of the strands on the bilayer implied that they adopted an unextended conformation. We demonstrated that preformed vesicular structures could be successfully loaded with either hydrophilic or hydrophobic dyes.