We theoretically study the nuclear spin dynamics driven by electron transport and hyperfine interaction in an electrically defined double quantum dot in the Pauli-blockade regime. We derive a master-equation-based framework and show that the coupled electron-nuclear system displays an instability towards the buildup of large nuclear spin polarization gradients in the two quantum dots. In the presence of such inhomogeneous magnetic fields, a quantum interference effect in the collective hyperfine coupling results in sizable nuclear spin entanglement between the two quantum dots in the steady state of the evolution. We investigate this effect using analytical and numerical techniques, and demonstrate its robustness under various types of impe...