I don't think this is possible as a connection. This is something that I have asked for on the Ideas forum that has been marked for Future Consideration. The option to create a threaded rod or put a thread on the end of a rod would be very useful, as well as the option to add a nut and/or a nut and washer washer at a location.
The way I do this is create a nut in AutoCad as a special part, ensure you have a top and bottom point added for insertion. Insert into Advance as a Special Part. Create the rod as a round bar and give it a descriptive nmae in the Naming tab of the rods properties. Drill the holes in the members, place the nuts and you have what you require.
I have had many projects where a nut needed to be welded to a beam underneath as well as threaded rod assemblies. It is something that other detailing packages do so there is a need for this to be added to Advance steel as well.
I hope there is an easier way to do this, if not give it a push on the ideas forum.