yes you could go thru the threads. but you would then have to drill each one individually, dress the threads, etc. plus i see serious difficulties in tightening the cap if the cable goes thru the thread on cap.... how would you actually tighten it? i mean the soldering has to be done before assembly, so i just don't see how to do it as a one piece threaded cap...
if you did it as a two piece arrangement it might be doable, but the threaded cap would only have a few threads so that the cable could exit near the top of the tube. the spacer below would have to be slotted to clear the cable exit, then you could cut your notch anywhere, solder, assemble the contact piece into the tube, insert your insulator, insert your spacer, then tighten the cap. but i think you might still have difficulty getting the spacer to not want to spin - that's why neutrik has a key on their strain relief. one of the key advantages to this shorty RA xlr connector is that the fabricator can aim the cable in any direction. if you manufacture a spacer with a key, it leads to more hand work, thus more time spent on assembly...
if you do the set screw cap, you are not exposing yourself to many of the above issues.
just my $0.02
neil