How do you solder something big?
You probably have two issues: getting enough heat, and surface compatibility. Iron (more likely steel, likely plated) may not solder easily, but it can be done with care to get the surfaces extremely clean and flux. Heat wise, you might use a soldering gun, heat gun, hot plate, (non-food!) oven, or even plumber's propane torch to pre-heat it.  Be careful however not to get it too hot - zinc based plating is a respiratory hazard if it boils off, solder will not behave properly when a joint is far above the appropriate temperature, and excessive heat will just make the metals oxidize faster, which is your real obstacle to making a good connection..

A far better method of connection might be to cross-drill the large nut and tap it for a small machine screw which can affix your wire directly or better yet with a crimped terminal ring. Using thread cutting taps is a skill, but one worth learning.  And you probably have six faces on the nut to work with if you accidentally break a tap in the first hole you try...

For anything used outdoors or in a tough environment you might also need to worry about corrosion between dissimilar metals, but this sounds a bit more like a temporary hobby or science fair project.  Of course if this is a very temporary initial "does this even work" proof-of-concept, you might also just be able to wrap the wire through the nut a few times and twist tightly - but that may be unreliable, and for good reason looks a bit unprofessional.