The short answer
Yes — a small piece of walnut is a fine, healthy-fat treat.
Why
Walnuts offer healthy fats and are safe for budgies, but they're rich, so only a little. Use fresh, unsalted nuts and discard any that smell off, since mould is dangerous.
How to feed it
Offer a small crumb of shelled, unsalted walnut.
How much & how often
A small piece occasionally.