Can you provide some information on the size of these components (externally threaded member and internally threaded member)? Also, are these parts meant to be continuously actuated against each other as in a lead screw mechanism, or are these part of a static, preloaded joint? If the latter, is this connection regularly loosened and re-tightened?
Depending on these details, there are varying degrees of coatings and lubricants that can be used. My first thoughts are as follows:
Externally threaded member should be coated with either phosphate-fluoride (SAE AMS2486) or anodized (SAE AMS2488 Type 2). Internally threaded member coated with baked-on dry film lubricant containing MoS2 (MIL-PRF-46010 or SAE AS5272). Some products to consider include Everlube ® 9002, Sandstrom #099 WATERBORNE Solid Film Lubricant, Tiolube® 20/20, and Molykote® 3400A AERO. Use a suitable lubricant or paste during assembly, such as Dow-Corning Molykote® G-N Metal Assembly Paste, Bostik Never-Seez®, Loctite ® Heavy Duty Anti-Seize Lubricant, etc.