Tabs are copper but plated with "stuff" that can make
a spot-weld fail to adhere (although solder will).
Another option could be to find small tube stock just
barely greater than thermocouple ball diameter, solder
it down (high temp solder, if you're really worried about
temperature excursion?) and swage the tube down at
from the ends inward, once the thermocouple end is
inserted. Or you could form thin copper sheet around
the thermocouple and try to solder / spot weld that.
Problem with trying to spot weld to copper is, its
conductivity prevents developing much heat in the
workpiece to get a true melt. All heat has to come
from "the other piece" or a lousy lossy interface.
What about rolling a thin copper sheet around the
thermocouple, with a "flag" the size of the TO220
body and a matched mounting hold, and sandwich
this between the case and the heatsink / mount
plane? Squish it tight about the ball and you ought
to have more than good enough thermal contact,
ball well surrounded by source and conduction >
convection losses.