I don't think the tank is glass lined...That is why it uses an anode rod.
I am not sure what a anode rod is made of. Magnesium and welding though do not mix.
If it cannot be welded on, then the drilling it out incrementally can work. With careful chiseling for the last step. This is a tricky operation though, and the risk of thread damage is pretty high. A tap can be used afterwards to help repair SLIGHTLY damaged threads.
I have had pretty good luck with this method over the years. Before I got into welding, it was my go to method.
I like welding better now, when it is possible.