Your putting you self at risk using anything on lug nuts when installing them.

If they are corroded, over-torqued or galled enough to need a long lever to loosen them they should be replaced. To meet engineering standards for safety and reliability they need to be installed and torqued clean and dry. Generally no oil or other compounds are recommended, needed or helpful for installation.

If you commonly run your vehicle in the surf or other corrosive environments you may want to apply a preservative grease to them after they are installed and torqued but check with the manufacturer. This grease would need to be removed before the nuts are reinstalled for long term use. This can be skipped when your repairing a flat in the field but needs to be taken care of properly ASAP.

Odds are you can get away with applying an anti-seize compound, goose grease, or what have you, lots of people do it. But your eating up the safety margins built into the design. Some day you may need that extra margin of safety and when you do ...

Those bolt are expendable. At the first sign of trouble replace them. Compared to other things they are cheap. Wheels do fall off ... usually at the worse possible time.