If the axle has no stripped threads, then the nut must be stripped. I have used a nut from a local fastener place in an emergency.
If it makes a "pop" noise and comes loose, something is damaged and needs replaced. Sounds to me like there are some threads that stripped off.
Check both parts very closely for damaged threads and determine which, if not both, is the damaged part.
I side with Lou on the "firm" tightening of the nut (especially after cashing out all that dough for new parts). I take it far enough to feel sure it won't work loose, but that's about it. Then I check it a couple times first loop, making sure it's still tight.
Good luck!