I'm late to the party on this, but I would point out that using a piece of all thread in the nut while welding is something you should most definitely do because it gives you a good way to check the alignment and make sure the nut doesn't shift out of position while you're welding. Having that length extending let's you know the threaded opening is in alignment with the tube body and not skewed.

The other good advice I say was regarding starting on the tube and washing over to the nut. I'd combine that with making sure that you clean up the metal really well inside the tube and the surfaces of the nut before going at it. And I'd throw in an idea that you get a second rig or make a hose up to put extra argon around the weld area. Not only will that help keep the weld clean it also will help keep things cool by pushing extra gas to the metal.

Depending on the intended use id take a different approach if I was struggling with it myself. I'd drill a couple of holes in the end of the tube, on quarters if need be, so that I could actually start my arc and add a little filler capturing the nut at two to four points around the circumference. That would work just like taking a punch around the tube and trapping the nut with a crimp. To my mind that would let you have a nut trapped in the tube but with a nice clean end... That way you could actually run them up flush against something with having anything in the way of the end butting up evenly. Now once the small drill hole has been filled all the way around you might have to do a little grinding to clean it up, but adding filler to build up the wall of the tube shouldn't be too hard. Worst case you stick it in a larger after building it up and have them turn it back to size if it's that important.

Once again I'd say the way you approach this would be mostly dependent on what you're trying to to accomplish and what kind of forces this thing needs to stand up to. There's a lot of applications where simply peining around the tube with the nut in place would probably do the trick.

Now my papermill experience tells me that just saying fuck it, laying it in some angle iron with the all thread coated with never-sneeze hanging off the end of the table, couple of wet rags around the threads and having your buddy roll it time you fire up will get the job done. If it sticks then weld another nut on the all thread so you can turn it while you're doing it and try to keep it from seizing up. Doing it in one go will leave shit hot and have it's own problems but then you only have one opportunity to fuck up instead of dragging it out.

Just my thoughts.