Lug Nuts
With regard to McGard lug nuts, their listed replacement for all models of Mazda is part no. 64002 (available in 4-packs). These are M12 x 1.5 non-tuner, cone seat, closed end types. They are much longer and heavier than the OEM nuts and they might stick out too far to allow use of the stock wheel covers. I guess their advantage is that they look good (triple-nickel chrome plated) and that by covering the ends of the lug nut studs, they prevent rust. Locks are also available under separate part nos. and you can also buy complete kits.
Tuner nuts and locks (including spline-drive) are also available either separately or as complete kits as mentioned above.
Another possible alternative is to use lug nuts from a 1998 Kia Sephia (they may be used on many other models and years of Kia as well). These are chrome plated, closed end nuts with the correct thread pattern that are only a little longer than the Mazda ones so they should fit under the wheel covers without interference. Other car companies may have equivalent parts but you would have to check for yourself.