Excellent news
M12x1.0 bleed screw - I didn't think of that! I might be able to recover the similarly broken D2 caliper I have doing that.
Marty - penetrating fluid is always worth a shot, but usually they're so crusted up it can't get in there. Copper anti-seize is very bad in this situation as it exacerbates the electrolysis between steel and aluminium. If you can get aluminium anti-seize though then this is ok. I usually give them a squirt of waxoyl once they're back in too, to prevent moisture getting down in to the threads - I do this with all brake fittings. The original Brembo bleed screw covers actually have a little collar around them to do the same job.
As David said, the proper Brembo bleed screws have a special black coating to prevent electrolysis, the same as Audi original hardware has a greenish coating. Putting ordinary zinc plated screws in just makes the problem even worse!