There are plenty of examples where copper boilers have been drilled for small fasteners directly into the boiler plates. These include such things as expansion angles fitted to the firebox wrapper, firehole door fixings and the like. Lots of boiler designs (a recently-looked-at example I came across is Martin Evans’ Columbia) call for tapping the boiler direct; the screws are always specified as bronze, as Brian says. Do not use stainless or brass, especially under the water level!
It would be ideal to have bushes for every screw, but on a finished boiler you have no real alternative other than tapping direct. Provided the thread diameter is not large in relation to the material thickness of the boiler, and you’re not drilling loads of holes near to one another, it should not affect the strength of the boiler at all. Caulking the threads with something like Loctite 542 should provide a perfect seal.
Threaded stays used to be commonplace, and you don’t fit bushes to every stay, do you?
However, it’s up to your Boiler Inspector to have the final say.