That's odd, generally u only get that problem with old worn wheel nuts.
been a nyloc nut it shouldn't come loose. Especially if its a new nut.
first off, did u re fit the locating pin to the HUB? The little one that goes thought the stub axle to lock the hub to the axle?
pn 7389 universal roll pin as per pic below.
visually inspect the wheel nut. Does the plastic part look deformed?
Does it look the same as the other 3 wheel nuts?
is the thread on the stub axle nice and clean free from pitting and distortion?
next inspect the HUB hex and the hex inside the wheel, make sure it's not striped.
oh be carefull not to over tighten the wheel nuts. Over tighten nuts will cause premature bearing failure