Hi Baz,
With a bit of care its possible to save the threads on your caliper. The bleed nipple locks out on the tapered seat at the base of the threaded hole. Once you remove this pressure, the remains of the nipple should unscrew quite easily.
Measure the diameter of an undamaged nipple just in front of the thread.(It's around 7.0 mm) You need to drill down the centre of the sheared nipple to a depth which just clears the depth of the thread. Do it in steps, 0.5 mm larger drill diameter at a time. This will ensure the drill bit follows the centre line of the bore in the nipple.
Not easy to do with a hand drill. Better to remove the caliper and use a pillar drill or mill & angle plate - you do not want to drill too deep! The tapered seat on the caliper must remain untouched. Once done the square tang of a file works great - using a hammer tap it into the remains of the nipple and unscrew.
Next fish out the remains of the tapered tip of the old nipple, Clean everything before fitting a replacement.