What do you mean by "round", do you mean spherical so you can glue them in at any angle? Or do you mean cylindrical so they slide into the hole easier?
You can get both. You can get nuts which are cylindrical rather than hex in shape, and have a slotted top. I'm sure you can just buy steel or aluminium lugs that are threaded as well.
Though I don't really understand why you want/need them anyway. Just use hex nuts, drill a hole equal to the size necessary for the nut, glue in the nut and then fill the gaps with epoxy or whatever filler you desire. Or are you talking about a locking nut?
Either way, yeah, you can get what you're looking for. Look for threaded tube or slotted round nuts.
http://sunrisefastener.net/case-nut.htm
EDIT: Also, sleeve nuts and cylindrical nuts are another thing to look our for. People definitely make these things, it's gonna be finding someone who will sell you a couple that will be the challenge, I'm not sure if hardware stores would carry them. Normally when I need something like that, I just make it myself.