I've had this issue twice. The first time, my car was at a shop and my guy there found a deep socket about the same diameter as the wavy part of the lock. He heated the end of the socket cherry red, stuck it on the lug nut and whacked it with a hammer, forming a removal tool that fits in the lug.
Second time, I took a picture of the lug nut, emailed it to McGard, and then they helped me buy the tool that fit it. I didn't have a torch to use to replicate the first method and the wheel had very deep lug nut recesses so there weren't too many options that wouldn't ruin the wheel.