The best shaft coupling would probably be a custom job by Kenny or someone. Maybe with a couple of grub screws at either end to locate/hold it in place and then, if you don't foresee any need to remove it, weld the ends of the coupling to the drill shaft/threaded rod (keeping in mind possible heat distortion leading to mis-alignment)

An alternative would be to use the drill chuck. Put the threaded rod in and tighten the chuck, then to stop the whole thing coming loose, drill straight through the chuck and rod in a couple of places and secure with bolts. Most cheap drill chucks have a 10mm diameter capacity, so maybe a couple of M4 or M5 bolts.

What threaded rod are you using? Because a lot of rods from car scissor jacks are bigger than 10mm so you'd need to turn an end down to get it to fit in the chuck, whereas threaded rods from the basic work benches you get in B&Q, Homebase, Wilkinsons etc seem to be the right size (judging by my work bench anyway).

I'm toying with the chuck method for the Carcinus rebuild, if I decide not to butcher an actuator instead.