Apple is a Dow Component and is listed on the Nasdaq. Dow Jones is an index and Nasdaq is an exchange. Two different things. Listing on the Nasdaq does not preclude inclusion in the Dow.
Other stocks listed on the Nasdaq but included in the Dow Jones Index are: Microsoft, Cisco, Intel, Walgreen.
Here's the Dow Jones components and the exchange on which they are listed:
Add to My Watchlist
What is My Watchlist?