There are two cone types, one has the nut as part of the cone (cast in) and the thread should go right through. It just screws down over the Tri washer and flyweel.
The second type, which I'm assuming you have, is a cone with a bare hole.
You will need to get the correct nut with a sleeve/shaft. As you screw the nut down, the shaft fits neatly in the cone hole and locks down with the help of a large flat, and curved spring washer.
Possibly your nut is jammed in the hole of the cone and is hindering fitment? An image will tell me if that's the case.
