An aluminum lug nut seem to be doable, although it might be more trouble than it is worth. It would work best with coarse threads as mentioned earlier and the design, alloy selection, and heat treatment would need to be carefully developed with lots of testing. This is a bit much for the hobbyist.
Titanium is a different animal than aluminum and it might work much better. It would not be good to rule it out. My choice, if I needed light nuts, would be to use ti. They would not be cheap.