You would have to look for a bottom tap. It's not as tapered as a standard tap. It's for tapping threads to the bottom of a blind hole.
Grease zerks are tapered pipe thread. No such thing as a bottom hole pipe tap. I have ground off the end of a pipe tap when I needed to tap a shallow hole though. If he does anything, I would agree welding a threaded collar to the tube would be the easiest. There shouldn't be enough heat transfer to the shaft to hurt it. You would need to be careful not to burn though the tube and into the shaft though. I would use a series of tack welds rather than a continuous weld.
Kim