Welcome to the forum (albeit a rather quiet one nowadays

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The stainless covers on the MG wheel nut are not designed to be removed - the 19mm wheelnut wrench that is normally provided in the toolkit that came with cars fitted with a spare is sized to fit over the cover. The exception is the original fit Rover 'locking' wheelnut which were fitted until 2004 (one on each wheel) where the cap does need to be pulled off to access the shaped nut underneath (a tubular plastic removal tool was also provided in the aforementioned toolkit - often ending up broken by people trying to remove the fixed caps from the other wheel nuts with it!). The cap on this cap has a shallow rectangular recess embossed into it for easy identification.
They often end up being rounded off by a combination of people tightening them up far too tight, and rough garages using air wrenches to loosen and tighten the nuts. You would probably be able to get a decent set of replacement nuts from a breaker for very little money (they usually go straight in a bin for scrap). There are also a number of eBay sellers offering replacement wheel nuts for the MG and Rover cars which are reasonably priced (but take care to ensure that you are getting nuts with a radius seat - ie. slightly rounded. Nuts with a conical/tapered seat are not suitable for the original factory fit alloys for the 25/ZR and 45/ZS).
If you have rounded nuts that are difficult to remove, you can either use a hammer to bang a socket one size less than the nut should be (this will in all probability knacker the socket), or you can take the car to a garage or tyre fitting company who will be very likely to have suitable tools to easily remove difficult nuts, or locking nuts for which the key socket has been lost (make sure you have a set of suitable replacement nuts first though

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