Usually bikes that have the screw-in adjusters have the rear portion of the dropouts thickened for that purpose. Some frames have dropouts with the thickened area, but aren't drilled. If your bike is one of those, then there's no reason it can't be done; but be careful! I've never tried it. The difficulty would be in holding the work steady, and the steel is bound to be really hard, so slow drilling using oil, and letting it cool off, would be the way to do it.

I think I've seen a posting where someone was attempting this, and ended up with a broken drill bit in the dropout -- not good.