The under body chassis steel on this car have a noticeable coating (maybe this is galvanized zinc coating, I'm not talking about the thick factory rust proofing coat, you will see it on the steel when you cut out the plastic plugs to install the aero package underbody panels). If you drill holes into the chassis steel then yes you will compromise it. Hope the aftermarket rust proofing will save you.
Personally I will not allow anyone drilling holes into the steel ever.
Just curious why would they drill holes into the doors? Just remove the interior door panels and then spray? I've removed the interior door panels myself to install the stitched knee pads, and there are wiring / harnesses / window motors / bare speakers inside and the steel is painted. Sounds dangerous.