I'm using a set of Gorilla open-end black nuts. 1 season in - no rust - they are painted inside as well (except threaded section).
http://www.rallyspor...n-Ended-12x1-25
I like them because they're a bit beefier than other choices. The Gorilla's are similar in design to the Muteki SR48 except they are 19mm instead of 17mm socket size. The Muteki may be preferable for some wheels with smaller holes to reduce risk of "socket rub".
I measured the Gorilla length at about 53mm - a bit longer than the Muteki 48 (48mm). Anyway, just another option.
Re rust formation, any unpainted steel/iron surface left for period of time with standing water will begin to rust. I wonder do you wash your car frequently and leave it sit wet afterwards? When I wash I always waterblade off excess water, and either take a quick drive and get up to speed for a few minutes, or blow out any standing bits of water with a leaf blower.