Ive never done it, cant say anything for sure. I see no issue with it structurally, but i think wherever you drill you'll be removing the undercoating, therefore exposing bare metal. I'd imagine you'd have to apply something to not allow rust to build up there. 

You should be able to BUT......make sure there is no BRAKE or GAS LINE or electrical located on the back side of the frame. 

Yes. The frame is structurally the strongest part of the vehicle. It's no problem at all.

Realise that any heavy duty addons - wheelchair lifts, tow hitches, winches, push bumpers, skidplates, rock rails etc. - they are always bolted to the frame.

A set of lights is nothing.

Thanks to everyone for their advice, looks to be alright to go by this method. 

The driver side frame does not have anything on the outer wall or on the other side of it. The passenger side however has the gas and brake lines on the inner side frame wall up by the floor board. 

In any case I am not drilling that high up on the frame, far from it, and for me to hit anything on the other side I would have to continuing drilling through the hollow frame to the other side wall and through that. 

I only plan on making a hole on the outer side of the frame and run a self thread screw through. 

This is just a guess. I really don’t know. Personally, I wouldn’t drill through the frame.

If it’s a unibody pathfinder, probably not a good idea, since the whole car holds the car together. 

If it’s a body on frame pathfinder, possibly ok to drill. I don’t think a tiny little hole can compromise a truck frame (assuming it is properly sealed). But then again, I wouldn’t risk it.

I would like to hear the thoughts from more experienced members, as my comments are just a guess. Better to hear from the experts that gave done it.