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Try adding the hole as a pad, in the padstack for the pad set all layers to be the same size as the hole or smaller.
Next select the hole type as non plated.
Then add the pad to wherever you want it on the PCB and fix or lock it so that it does not get moved by accident.
When you generate your NC-drill files you can have 2 files, file 1 has the plated holes only and file 2 has the non-plated holes only. This will ensure tat your board fab will give non-plated holes where you need them.
You can create it as a component,in the padstack and save it as non-plated as told by v_kumar.
But then,when you need to connect it to the chassis ground then you need to provide a pad bit more then the drill size and can be connected manually.
To have some holes not plated you will have to get the manufacturer to cover the holes when plateing or to drill more holes after plating the board. They will charge you more money because they have to do more work.