What you're trying to do is remove a hardened steel roll pin from a blind hole. It was made that way so you couldn't. Though in principle the screw idea seems like it would work, but I don't think you will find a sheet metal screw which is hard enough to cut into the roll pin metal, and if it does, it will expand the roll pin and make it tighter than it is.
The first thing you need to do is figure out how deep the "blind hole" is. Start by measuring the depth with a heavy needle or a piece of wire which will fit in the hole of the roll pin, mark the wire with a piece of tape or a clamping device at the edge of the stock. If you're lucky, it has been drill through the key and all that is required is to remove the plastic on the far side of the stock. If it is through the key, heat the point of the pin red hot and push if through to the outside of the stock, making a pilot hole. You might have to reheat the pin several times. If the key is not drilled through, then you will need a drill bit which fits in the center hole of the roll pin and drill it through the the outside of the stock. Once the pilot hole is established, using a drill bit the size of the original hole, drill out the "off side" to access the end of the roll pin. Tap out the roll pin.
