If the device left your sight for any amount of time, replace it. It can no longer be trusted.
The cost to assure it can still be trusted significantly exceeds the cost of getting a new one
There is effectively no way to verify that the hardware has not been tampered with without significant expertise and employing non-trivial resources. The only solution is to replace the laptop and all associated components. Without knowing your country or other aspects of the situation you are in, there is no way for me to comment on the likelihood of this, only on the technical feasibility.
If you do need to verify the integrity of the laptop, there are a few things to check (non-exhaustive):
Weight distribution - Verify the precise weight of each component (IC, PCB, etc). Weight distributions can be analyzed using gyroscopic effects. This requires having uncompromised equipment nearby for comparison. Extremely precise measuring equipment is required.
Power consumption - Verify the power consumption of each component over time. Backdoors often use power, and their presence can sometimes be detected with a power analysis attack. Do not rely on this however, as integrated circuits can use extremely little power nowadays.
PCB X-ray inspection - Use X-rays to view the circuit board internals. This requires expensive equipment for a multi-layer printed circuit board such as a laptop motherboard. It also requires many man hours of intensive inspection of each square micrometer of the device.
Sounds excessive? It is, but this is what you would have to do to have a good level of confidence that no malicious hardware modifications have been made. It will be cheaper just to buy a new laptop. Note that this is not intended to be practical advice, and it is not even close to complete even if it was. It's meant to illustrate this near-impossibility of searching for sophisticated hardware implants.
I nuked it from orbit but I just realised that it was on sleep state for 2 days and not in shutdown state, so it was connected to my modem via wifi. Does it need to be worried about?
In theory, compromised hardware or firmware would be made to compromise your wireless access point or other devices listening in. While a suspended state (sleep mode) normally also disables the NIC, you cannot make that assumption if the hardware is compromised. However, while this is theoretically possible, it would require a far more targeted attack, and most military groups will not want to give away the 0days they have by shooting them at any nearby wireless device they can find.
Unfortunately, it is also theoretically possible that your modem has been compromised. I do not think that is very likely at all though, as they could have just done that through your internet connection, assuming they can control or compromise your ISP. If they have tampered with your hardware, it's much more likely that they have only done so for surveillance purposes, not to spread some worm.
I have double checked the laptop physically and there is no sign of screw or plastic deformation. Is that still possible that they have compromised its hardware?
Absolutely. There are many ways to open a laptop without that fact being apparent. While sophisticated chassis intrusion detection mechanisms exist, there are some "ghetto" techniques which you may be able to use in the future. One technique is to sprinkle nail polish with glitter on the joints of the system, inside and out. Take a high-resolution photo of this (and don't store the photo on the computer!). If the device is opened, the precise layout of the glitter will be disrupted, and it will become exceptionally difficult to put it back in place. You can compare it with the stored photo and look for subtle differences.
The term for this is tamper-evidence, which is any technique that makes it hard to tamper with a device without that fact being noticeable. More professional options would include bespoke tamper-evident security tape or holographic stickers. Unfortunately, this can only help you in the future and will obviously be incapable of protecting your system retroactively.