Drill would be the last option for me. Highly likely to wonder off in to the frame. If there’s plenty left on it I’d attempt to unwind it with pliers. Grasp it just enough enough to get a good grip but not too much or you might crush it leaving you with less to work with.
As the others have said though it won’t be the end of the world as it’ll be well fixed with the other 2 and the q/r and axle. Would suggest using a taper tap to start with on the others, plenty of oil, and go very steady, winding the tap in half a turn at most and back out at least 1/4.