Oh ****.... I cry for you!!!
I had four of these, and made a right mess of two lugs and one Fuch.
My only advice -
If you drill be real careful, its easy to slip and either damage your wheel or drill into the lug. Depending upon how fixed it is, you will probably need a small chisel or punch. I found by using a chisel I could eventually turn the nut off but this was after drilling for at least a half hour per nut, and removing most of the nut. It pretty much collapses around the lug as you chisel it around.
If you can find a hole saw that fits - good luck, I couldn't get one here. If someone can get one for you DO THIS as your first option, even if it means waiting for the saw to be delivered across country.
I also tried drilling two holes in the nut, placing two small steel rods inside and, using a third rod as a lever, tried wrenching it off - didn't work!!!
For all the headache getting four off, if I knew what a hassle it was going to be, the time taken to do it and the realisation that I was going to damage the wheel, I would have tried to find a tyre fitter of some reputation and accept they'll do a better job than me! Chances are they may still damage it too. I guess it depends on whether you feel you will take better care doing it yourself or letting someone else do it.
To be honest I can't believe more people haven't had this problem. Surely this can't be too uncommon - but I posted everywhere and few had any successful options/experience other than mine after I had done it.
I really hope you have more luck than me. I'm really pissed at the damage I inflicted in one wheel. Needs serious refinishing.
Cheers
Mark