SUCCESS! I wound up using a screw extractor (a tapered screw-like bit with reverse threads). Our Ace Hardware sells screw extractors of various sizes, sold individually for about $3. The correct size extractor was the smallest - for a 5/64" pilot hole. As it turns out, the original nipples on my Uberti 1851 Colt Navy are drilled (on the cap end) almost exactly 5/64". Using a pair of vise grips to turn the screw extractor, the nipple snapped loose and threaded right out.
Actually, there was one little bugaboo to contend with. Nipples have two holes, arranged axially. The larger hole (5/64") extends from the cap end of the nipple, almost clear through the nipple, to the breach end - then there is a much smaller, final hole leading to the powder. The tip of my screw extractor bottomed out on the small hole. So, I ran a 5/64" drill bit through the nipple, curing the problem, giving the screw extractor plenty of bite.
Soaking in penetrating oil didn't work for me, probably because I had slightly boogered up the flats on the nipple and couldn't get a good grip with my nipple wrench. (I think those flats are too thin - slightly thicker flats would give the wrench a better grip.)
If you ever decide to go the screw-extractor route, take your revolver cylinder or a nipple with you to the hardware store to make sure you get the correct size extractor. No sense buying a kit, with assorted extractor sizes, when you only need one - the kit was $16 and individually they were $3. Most all the extractors in the kit were way too large for gun applications - more like the size you'd use for removing a broken headbolt on a car engine.
Where there's a will, there's a way.