Lug nuts have a manufacturer's recommended torque that is given for a DRY thread. There is a reason for this. The following chart represents the torque required to produce a given bolt (or stud) elongation:

Effect of Lubrication on Torque
Torque Rating in Foot/Pounds
Lubricant on a ½-13 thread/inch bolt
NO LUBE, steel 121
Plated & cleaned 90 (26%)
SAE 20 oil 87 (28%)
SAE 40 oil 83 (31%)
Plated & SAE 30 79 (35%)
White grease 79 (35%)
Dry Moly film 66 (45%)
Graphite $ oil 62 (49%)

Something like 80% of the torque goes to overcome friction. So, if you lubed the threads and torqued the nuts to "dry" specs, you would be overtightening the fastener to some extreme....probably past the elastic limit.

Bolt School site:
http://www.boltscience.com/pages/info.htm