This sounds like the dreaded "Can you just?"
To make the nut, the raw material will need to be faced, the OD turned to size, knurled, followed by drilling and tapping.,rbefore being eversed in the chuck to be fdaced .
You will need the correct Taps, (A set of three, ideallky. You will have great difficulty using just a bottoming Tap ) and a tapping size drill to cut your own thread.
Once you know what you have to produce..
Producing the thread as a second op, out of the lathe, risks producing it off axis and probably off centre. A job best done in the lathe while turning and knurling the OD.
Unless you are a good guesser, you may need several tries to get the correct nut to determine the thread
(And hardware suppliers are unlikely to be happy sell you just one nut. Some have a minimum order value ). Would you want to pay £6 for one nut only to find that it is the wrong one?
Better to determine what the thread is and to cut it while the job is still in the lathe.
What material do you want? And if steel, do you want it natural or blacked finish?
You need tohave the enswers to these questions before much can be done.
Howartd