I believe they are of steel, but are specially hardened to make them hard-wearing. Hardening, in turn, makes them brittle.
Having watched the following Amazon Cars video recently I was surprised to see how little torque Rob applied when tightening the lock nuts (by the looks of it). And he obviously knows what he is doing.
https://www.youtube.com/watch?v=vg4bbJ2Mpj4
(see at about 2:29)