The hub in question is a deore front (MTB, disc) hub, with cup and cone bearings, and has had this problem for a long time.
After adjusting the cones and tightening the lock nuts, it's only one ride before there's play in the bearings again.
I don't think there's a problem with the axle thread, or I wouldn't be able to tighten the lock nuts against the cones. Logic would suggest that if they come loose, it's because I've not done them up tight enough, but I've tightened them as much as I dare.
What is wrong/what can I try?