It appears that you have a '29 two-tooth steering box, as the end of the shaft is keyed instead of splined and you've got the black '29 steering wheel. Look down below where the tube meets the steering box. Ensure that it is pushed all the way against the top of the steering box. If there is a gap, that pushes the tube up and into the steering wheel = a bind when the steering wheel nut is sufficiently tightened. It's a close fit as it is. If there is even a little gap down there, loosen the clamp just above the juncture and the two slot-head bolts on the gas tank clamp and push/hammer the tube down home. Now you will have the clearance to tighten the steering wheel nut.
I have seen this problem a couple times on "restored" Model A's. Very common.
Marshall