I generally give them a light coating of coppaslip. It's more to stop water from getting between the skewer & axle then causing corrosion than actually lubricating the skewer/axle interface as it shouldn't move.
If you use a Schmidt dynohub, don't grease the skewer.
There's a breather hole in the middle, and if it gets clogged expansion/contraction of the air within the hub can suck water past the axle seals. Only a small amount of internal rust is needed to jam the hub.
I had my skewers out a couple of weeks ago and noticed some rust spots starting to develop (commute bike so often exposed to wet and gritted roads). I did massage some copperslip into them just for protection from the elements but there is no mechanical need for lubricant on the skewer.
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