As Dave says, the threads will be parallel and clamped to the male thread by the outside taper.
Two halves glued/soldered together (or held by other means), drill and tap the hole, separate the two halves and skim/file/grind the closing edges to allow them to tightly clamp on the male thread.
You can set the taper angle either by trig calculation or by setting the female outer onto the lathe centre line and adjusting the compound so that a dti on the taper shows no change, as the compound is wound along the taper. I would prefer the latter method, if possible.