The concept of NaN long predates the language that uses ===, and is part of a language-agnostic standard that doesn't consider other data types. Any language choosing to treat the equality (regardless of the operator symbol) of NaN differently would be deviating from the spec.
Julia evaluates NaN === NaN to true, as long as the underlying bit representations are the same. Eg NaN === -NaN evaluates to false, as happens also with NaNs where for some reason you tinker with their bytes. I think it makes sense that it is so though, regardless that I cannot think of any actual use cases out of doing weird stuff.