Even taken all four hub caps off to see if it might still be attached to one of the nuts.
Ah. A salient point. Did you actually take plastic wheel trims off the wheels! If that’s the case, then the car will not have needed a locking wheel nut, they’re only provided with alloy wheels.
One other point, not everyone puts locking wheel nuts on the car, some leave the original nuts in place, on the principle of why would anyone nick the wheels off a fairly mundane car anyway.
As for jack, spanner, spare wheel – none of these came with the car but an inflation device and a can of sealant did. Cheapskates.
Common practice these days, a great many people are reluctant to start jacking cars up, removing wheels and replacing them by the side of busy roads; if I had a flat by the side of a busy dual carriageway or a motorway, the last thing I’d be doing is trying to change a wheel, and I know exactly how to do it, but the proximity to very fast moving traffic, especially large trucks, makes it very risky!