Oil when building, linseed is good. But any old oil is ok, the thread and the nipple bed/eyelet of the rim. Brass is the only way. Alloy nips are ok for race wheels that you want for a season, but if building a pair to last, sod the minute weight saving and go for good old fashioned, reliable brass.
I've given up on seized nips on lots of wheels, cut em out and start again. De-tension the wheel as much as poss before cutting spokes. That way you minimise the risk of the rim going "ping".
I guess what we've got here is bi-metalic corrorion, same as when an alloy post siezes into a steel frame. So maybe you could apply same methods? Saturated solution of caustic soda dropped onto nipple threads - careful now! Might help with an overnight soak. Or apply heat, can sometimes break down the corrosion. Very localised heat with one of those camping lighters maybe? (like a mini blowtorch)
Good luck and mind your fingers!