This filter is run before a user is created and/or updated. The fact that all pre_user hooks are run in both conditions makes life a bit more complicated.

The filter is referenced in both wp-admin/user-new.php and wp-includes/user.php

Here’s an example of using it to make sure a newly created user has a nickname equal to the user’s first and last name:

/**
 * Check if the user has been created.
 *
 * @param string $login User login.
 * @return string (Maybe) filtered login.
 */
function wpdocs_check_if_user_created( $login ) {
	// Don't do anything to login, just see if already in database.
	global $wpdb, $is_new_login;

	$id = $wpdb->get_var( $wpdb->prepare( "SELECT ID FROM $wpdb->users WHERE user_login = '%s'", $login ) );
	$is_new_login = ( isset( $id ) ) ? false : true;

	return $login;
}

/**
 * Filter the user nickname.
 *
 * @param string $nickname User nickname.
 * @return string (Maybe) filtered nickname.
 */
function wpdocs_fix_nickname ( $nickname ) {
	global $is_new_login;

	if ( $is_new_login ) {
		$first_name = empty( $_POST_['first_name'] ) ? sanitize_text_field( $_POST['first_name'] ) : '';
		$last_name  = empty( $_POST['last_name'] ) ? sanitize_text_field( $_POST['last_name'] ) : '';

		$nickname  = empty( $first_name ) ? '' : $first_name;
		$nickname .= empty( $last_name ) ? '' : ' ' . $last_name;
	}
	return $nickname;
}

add_filter( 'pre_user_login', 'wpdocs_check_if_user_created' );
add_filter( 'pre_user_nickname', 'wpdocs_fix_nickname' );