Hi Andy
Over the years I have also thought "why is it so" and you post finally prompted me to try to understand the forces involved better and go beyond the reel and cap demonstration
I think the key concepts to grasp are as stated in the wikipedia page on the topic in the side box with the rotating demonstration
http://en.wikipedia.org/wiki/Precession_(mechanical)
i.e As the wheel rotates 360 degrees the load contact point due to car weight between the nut and the wheel moves through 360 degrees also.
In the Lotus case at the contact point, the nut diameter and thus circumference is a very small fraction smaller than the wheel diameter and thus circumference. This occurs even in a tightened nut due to flex in the components under the load of car weight.
This means that when the wheel has completed a full 360 degree rotation the nut contacts the wheel slight behind where it did the rotation before due to its small circumference. This produces a force that is trying to drag the nut in the direction of rotation. Thus right hand threads on right side
The reverse is true for a Rudge style knock on where the nut diameter is very slightly larger than wheel diameter at point of contact and thus as the wheel spins it produces force trying to drag the nut in the opposite direction to spin. Thus left hand threads on right hand side.
If the wheel and nut assembly is sufficiently tightened as to be rigidly locked up then this mechanical precession will not occur which is why you can drive with the hubs on the wrong side if you keep the wheel nuts sufficiently tight.
If the wheel / nut assembly is slightly loose or sufficiently flexible then mechanical precession will prevent it loosening further with the correct assembly to match the nut style.
In theory if you drove in reverse far enough your wheels would loosen if not sufficiently tightened
cheers
Rohan