Who makes the best snap caps for dry fire? I'd prefer nickle case. Can a Henry lever be dry fired without damage?

Steelworx. Have in various calibers and all mine are stainless steel.
Have some A Zoom snap caps in various calibers that never gave me any problems over the years but the oldest ones are looking rough around the neck. I think they're aluminum.
If your Henry is rimfire that'd be worth mentioning. I have some soft rubber .22 snap caps but they're only good for manually inserting in a chamber, they won't cycle in a mag or tube. The Steelworx .22 dummy caps cycle in tube & mag fed rifles just fine but they're stainless steel. Stellworx thinks that's fine but could be hard on a firing pin with repeated use, but still better than firing on an empty chamber.

Rimfire or centerfire?  Centerfire arms do not require a snap cap.  Rimfire doe because the firing pin will strike the chamber edge.

If I was going to buy more snap caps or dummy rounds, I would look at these:  https://www.lymanproducts.com/brands/a-zoom

I can't recommend a snap cap but I can say from personal experience that a Henry will break a firing pin with dry firing.  

Happened in my .357 Mag.  I emailed Henry and they quickly had a replacement in my hand along with a spare.  No problems since then, but I don't dry fire it any more.