paulflexes demonstrates that both words have indeed had a similar meaning, though interestingly their etymology is different. In modern times they are often paired together alliteratively, which would be redundant had not the current definition for "thrill" morphed over the centuries.
For instance, when I was in US Army Basic Training, our Drill Sergeants told us it was a "thrill to drill," in the military sense of conducting "drill." During the Bush Administration, anti-environmental Republicans also told the public it was a "thrill to drill," using drill in its meaning "to bore a hole." The other night some guy at a gay club told me it would be a "thrill to drill" me, in the looser slang usage of the concept of "boring & penetrating" something.
Of course, I would express a personal enthusiasm for actually engaging in only one of those three instances of combining thrill and drill together. And I can likewise guess why Caslon finds the relationship of the 2 words intriguing, if not stimulating. (I certainly hope no one takes any of this seriously)