There are nails that have threads on them that are made especially for this purpose.
That's fair, ring shanks are a thing, but I was thinking more along the lines of a wood screw with deep threads. That just sounds like looking for pain. I'd expect it to chew things up pretty badly, too, though I have so far lacked the commitment to try pounding a screw with a hammer ;).
No, there aren't. Ring shanks have ridges, not threads.
Ring shanks do exist, but they are also made with a softer iron so it can be struck with a hammer and bend instead of fracture or snap off.