Use screw into steel tube without using nut?
Your best bet would be the correctly sized metal screw.  Not a bolt, but a screw.  Some of them are self drilling/tapping (these are commonly referred to as simply "self-tapping" in the US). They will drill their own hole and tap their own threads all in one step. If you can't find the right sized metal screw, you can get a self-tapper a little bigger than the hole and it will tap itself a larger hole and hold tight. These are available at Home Depot (or any hardware store, really) in the little plastic baggies if you need a few, or in small boxes if you need a lot.



Self drilling and tapping metal screw