Why not?I wouldnt be drilling that stud out, that would be the last thing I would try.
How you gonna drill it if is spinning??Why not?
All these other suggestions, snapping off, grinding down, splitting the nut with a chisel, are ALL going to risk damage to the wheel (I can't Imagine the amount "side force" it would take to snap a stud with a nut on it close to the wheel).
As you increase the drill size to the diameter of the nut (of course you don't have to go any deeper than that nut) it's just going to fall off without ever the danger of hitting the wheel itself )
It Really IS the best, easiest, method (my grew-up in my, family owned, tire business and this happened all the time)...