Do you have a full-on bung welded in there or just a tapped header? If you don't already have a bung welded on the header, you can just drill out the hole a little and get a bung welded over the top of it.
If you do already have a bung on it, you could have it grinded off and a new one welded on. I wouldn't try to heal-a-coil an EGT probe... lots of those heal-a-coil solutions use the equivalent of JB-weld. A full-on repair insert might work, but even that's going to add yet another layer of metal that has to heat cycle over and over w/o loosening up.
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