A user is allowed to change his nickname. If a user submits a question “A” using nickname “userA” and then later on changes his nick to “userB” and submits another question “B”, in the data dump will it be possible to link question A to nickname B (is the updated nickname)? In other words, is your nickname changes across all your questions when you update it?
The data dump contains usernames that are in use at the time the dump is generated. So if you change your username and the data dump with your posts hasn't been published yet, the upcoming data dump will include both usernames. On the other hand, if you change your username after the data dump has been published, later data dumps will include the newer name, while older ones won't. Stack Exchange does not modify old data dumps except under exceptional circumstances.
The same applies for the Data Explorer, which is updated every Sunday.
Generally, in both, your username will also be accompanied by your UserId (per site) and AccountId (networkwide), which will never change. These can be used to link your posts across different data dumps.