Only the lug nuts are hot? Not the wheel itself?
Drive it on a long stretch or road, several miles, where you don't need to use the brakes at all if possible.
Get it stopped with as little brake application as possible, as light as possible.
Get out and feel the 2 front wheels. If they are both equally warm, no problem. If any are almost too hot to touch, you probably have a caliper sticking. This can be an intermittent problem. I had such a problem (non-Jeep) and when it was dragging, the rotor would get hot enough to deform and start vibrating. A quick press & release on the brake pedal would temporarily free it. It would only do it occasionally. The wheel would get noticeably hotter than the others (4 wheel disk brakes). Another telltale sign is when coasting to a stop in neutral, just as it stops, it will feel as if the brake is being applied very lightly.