[Volvorama]

Far as I'm aware with 240s the Virgo wheel nuts work fine with steel wheels. Being a sealed nut they're ok without hubcaps. I've seen Volvo alloy wheels used with ordinary nuts and whilst ugly it should work fine because their wheels have steel inserts so there's no need for a special nut.
740s and 940s use the same (metric) nuts for steel and alloy when the latter have those plastic covers over the nuts.
I've never lost a wheel or even had one come loose so yours is an usual event, although a 240 I bought had been fitted with new studs on one corner.
If you're still stuck for nuts get in touch as I'm very near. Dudley code 633132.