Aluminum (and titanium) lug nuts were originally a racing derived application to keep weight off of the car, especially un-sprung rotating weight. Since the life cycle of a racing lug nut is very low (often 1 race or 1 pit stop) any kind of galvanic corrosion, fatigue, thread stripping is deemed negligible in that application. For the street however, I've never really seen the point in running them as there are a lot of things to watch out for (risks).
* Be wary of imitators and knock off lug nuts from China. There is a long history of shiesty materials practices.
* I would not run cheap non-reputable alloy lug nuts on my car, not worth my life to save 4oz a wheel.
To answer your question directly, yes you can get corrosion between the steel and aluminum especially if you use these lug nuts in a salty environment like the ocean/coast or the snow. Aluminum while it does not rust, does corrode in these circumstances. (I see it every day in our fleet)
Other issues to watch for:
---Galling/stripping of threads. If you use an alloy lug nut be wary and adhere to torquing sequences and torque specs. Over torquing here can be your demise.
---Cross threading an alloy lug nut is very easy
---Inspect the lug nuts after each removal/ try to minimize removal
---Keep spares on hand
FWIW these lug nuts achieve "full strength" through thread engagement length. If you have a bolt and nut of the exact same material type and hardness (i.e. grade 5 nut and bolt), achieving full strength requires very few threads.
With dissimilar materials and 1 being softer or less hard than the other, achieving full strength requires a lot longer thread engagement or more threads. That is why the aluminum or titanium lug nuts have open ends and are a lot longer than the factory "acorn nuts". The equation for calculating this "engagement area" is in the Machinery's Handbook, and isn't too tough to follow.
I recently had to calculate thread engagement area for full strength of 2 dissimilar steels....I enjoyed life much more when I was ignorant.