Put the "Compression" gauge on the Fireplace Mantle and buy another old gauge that has pipe threads and save a lot of headaches and ruining of a gauge.
Ebay is full of old pressure gauges. This is a rat hole you are going down for no reason. You have a special gauge with special threads/fittings and it's for compression testing. I believe the straight threads are for easy assembly and disassembly for a mechanic. Not made for permanent connection for how that gauge was used, like pipe threads would be. Seems like the same type threads/quick disconnect on A/C gauge/hose sets. (hand tighten most of the way). It's the wrong gauge for your deal in my opinion.
Drill this, drill that, tap, cut off, buy a tap, go to a shop, find a machinist.......all kinds of good ideas for someone in a real bind. You are not in a bind.......yet.
If this is fun stuff to modify and tinker with, your type of drill, tap, weld project, go for it.