Sounds to me like you're air gun isn't tightening the lugs nuts enough, which allowed them to back out.

Air guns are great, but should always be followed up with a torque wrench to make sure you're cinching things down enough.

Any good tire store will follow this procedure, or at least use a "break" style extension on the air gun that stops applying torque when the final value is reached.

Even on steel wheels, you should recheck your lug nuts after 100 or so miles and re-torque as needed. It is just a good maintenance, like checking the air pressure in your tires.