My trainer was only a cheapie and it came with it's own skewer so I'd imagine the expensive ones do as well. In anycase, it's not hard to buy a skewer just for the job. I'll repeat my earlier suggestion of a wheel just for the trainer with a tyre you don't mind shredding (you can buy special 'trainer' tyres), a skewer so that it fits into the trainer properly (and is easy to change) and doesn't muck up your good wheel nuts.

BTW, buying a cheap trainer isn't a good move if you're serious about using one - the resistance system isn't as good and they tend to be very noisy in comparison to the expensive ones (no point trying to watch television with mine).

Richard