We have a 2001 Freightliner with 22.5 wheels, 10 lugs.
On ours, the "nut" inside is a seperate item from the formed stainless dress cover. The cover pulls off with a rubber coated plier like gripper tool. The "nut" is torqued onto the stud over the official lug nut using a T handle tool which engages with two notches in the "nut". There are two such "nut" and cover assemblies at each of the four wheel positions. Not tightening the the "nut" sufficiently may be what allowed it to loosen up and fall off. You are looking for two seperate pieces plus the tool to install and remove the "nut".
Update: The T handle tool I use is similar to the "Phoenix PN205TOL" and is used to install and remove the "hex jam nut" as well as the "stud extender" which needs to be removed in order to remove the wheel from the hub.
