I've must have done 100-200 wheel changes over the years and have never had such an issue and I use a thin film of anti seize on my threads.
I think the idea mentioned above by Ginger has merit.
NOW, the only time my studs/nuts have come a bit loose is after my first track session of a driving school (HPDE). I think everybody has to re-torque their wheels. Which brings up the question: did you notice this after a long highway drive?
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