You have several different material options for your application. You can go with Cr-Ni-Mo low alloy steels (AISI type 4340 or AISI Type 8620) or martensitic stainless steel (AISI Type 410) to achieve core hardenability, and use a surface treatment method like nitriding, carbonitriding or chemical vapor deposition to achieve your surface hardness requirement.
With all of the self tapping screw material available, why do you need such a high surface hardness?