Have you tried hammering an impact socket over the stuck lug?
If this doesn't work, go to an auto parts store and ask for some locking lug nut removers. We carry them in stock, but they cost about $40.00 a set. they work like no other, it's a reverse threaded, tapered socket that fits over the stuck lug.
I've just always used a junk impact socket and hammered it on, the used a breakover bar to break it loose.