I have a regular round 1 1/4" steel tube, and I want to put a screw in it. The tube only has one hole (where the screw goes) so I can't use a nut.
What options do I have and can I find it at Home Depot?
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Your best bet would be the correctly sized metal screw. Not a bolt, but a screw. Some of them are self drilling/tapping (these are commonly referred to as simply "self-tapping" in the US). They will drill their own hole and tap their own threads all in one step. If you can't find the right sized metal screw, you can get a self-tapper a little bigger than the hole and it will tap itself a larger hole and hold tight. These are available at Home Depot (or any hardware store, really) in the little plastic baggies if you need a few, or in small boxes if you need a lot.
Self drilling and tapping metal screw
These fasteners are pulled up like a rivet, expanding and squishing the fluted section of the sides into the hole in your pipe.
Although it might be overkill for a one off, you should look up flowdrills. Flowdrill these are a solid metal cone which heats up the pipe by friction until it is hot enough to flow into a thick boss, which can then be threaded with a conventional tap set.
A "pop rivet" (sometimes called a "blind rivet") may work for you, depending upon the application. It is a fastener designed to work in a "blind" hole, i.e. a hole with no access to the back side. A special tool is needed to attach them but the tool and rivets are relatively inexpensive.
They are available in many different lengths and diameters, to accommodate different material thickness and strength needs. Rivets are made of steel, aluminum, and perhaps other materials. They can be used to attach materials directly to the base material, or they also have "rivet nuts" that are internally threaded, allowing you to fasten with a machine screw or bolt (see lower picture).