Are there any molecular modeling programs that can build materials made up of three or more elements into a cylindrical shape?
Various custom software exists to create nanotubes. 

The following appears suitable:
http://www.jcrystal.com/products/wincnt/

A Wolfram Demonstrations application may also be of some use:
https://demonstrations.wolfram.com/NanotubeBuilder/

Furthermore, you may have further considerations like how to generate molecular mechanics parameters. For example, you may be interested in how to generate the nanotubes to be compatible with AMBER, or GROMACS. The following may be of use if that is the case:
https://github.com/bio-phys/cnt-gaff
http://www.gromacs.org/Documentation/How-tos/Carbon_Nanotube

I should also mention that VMD and Avogadro, which are more easy to use, can create carbon nanotubes. VMD can create boron-nitride nanotubes
http://www.ks.uiuc.edu/Research/vmd/plugins/nanotube/