Iterative selection of features and export to shapefile using PyQGIS

You can use the following script. Just change folder.

layer = qgis.utils.iface.mapCanvas().currentLayer()

field_name = "CODNUT2"
idx = layer.fields().indexOf(field_name)
unique_values = layer.uniqueValues(idx)

folder = "/path/to/folder"

for value in unique_values:
    file_path = f"{folder}/_{value}.shp"
    layer.selectByExpression(f"{field_name}='{value}'")
    
    QgsVectorFileWriter.writeAsVectorFormat(layer,
                                            file_path,
                                            'utf-8',
                                            layer.crs(),
                                            "ESRI Shapefile",
                                            onlySelected=True
                                            )

I would use two processing tools to achieve your problem: [qgis:listuniquevalues] to get the unique valuesand native:saveselectedfeatures to save the selected feature.

layer = iface.activeLayer()

# Find the unique values for the given field
res1 = processing.run("qgis:listuniquevalues",
                      {'INPUT': layer,
                       'FIELDS': ['CODNUT2'],
                       'OUTPUT': 'TEMPORARY_OUTPUT',
                       'OUTPUT_HTML_FILE': 'TEMPORARY_OUTPUT'})
distinct_value = res1['OUTPUT']

# Loop trough the unique values
for feat in distinct_value.getFeatures():
    attr_value = feat['CODNUT2']  # distinct value 

    # Select the objects with the unique value
    layer.selectByExpression(f"CODNUT2='{attr_value}'")

    # Exported selected objects to shp
    processing.run("native:saveselectedfeatures",
                   {'INPUT': layer,
                    'OUTPUT': f'C:/Users/ncipa/Downloads/test_selectedtest_{attr_value}.shp'})

There is a better approach for what you want to do with processing and the native splitvectorlayer algorithm.

Just do :

import processing
params = {'INPUT':iface.activeLayer(),
'FIELD':'CODNUT2',
'FILE_TYPE':0,
'OUTPUT':'/path/to/folder'}
processing.run("native:splitvectorlayer", params)

Put 'FILE_TYPE':1 if you want shpfile

To get the help :

processing.algorithmHelp('native:splitvectorlayer') #in the console