They absolutely did!

Early in automotive history the lugs nuts often loosened. Once the lug nut was broke loose, it freely spun, unlike modern wheel lugs and nuts.

Many wheel lugs were left threaded to prevent the centrifugal force from spinning the lug nuts off completely. 

This was done on the driver/left side of the vehicles due to the direction the wheels spun on that side. 

These are generally marked with an "L" on the end of the lug itself, and sometimes on the lug nut perimeter.

This was done from the 40's up until the mid 70's on many major production vehicle manufacturers. More so on larger truck chassis.

A good rule of thumb is if working on a vehicle manufactured before 1980, check the driver-side lugs for an "L" and confirm thread direction.