Contact a local machine shop. Any competent machinist with a lathe can make it. You could also buy a rod and thread it yourself with a die. Or use cotter pins instead of lock nuts.

Is there anything particularly special about the threads, or just that you want a shaft with threaded ends? McMaster-Carr has those made to order in several materials:

https://www.mcmaster.com/threaded-shafts/threaded-rotary-shafts/diameter~12mm/

My soul left my body at the price

I would user cotter pins but I’m worried about the axle integrity at that diameter? Should I be worried?

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It depends on what it is on. Load, speed, etc matter. Cotter pins and washers are common for low speed applications. Threading becomes necessary where side play is unacceptable.

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