Tom,
On the Tiny, there is nothing very sacred about the 5-40 thread. A regular 5-40 NC will work just fine. Many of the hardware stores, such as ACE, have 5-40 taps and dies, as do many auto supply stores that sell tools. You may have to grind off the tip of the tap to get it to give you enough threads.
You could also use a 4-40 thread if you have a tap and die for it. If you do, it would probably be best to reduce the hole in the steam inlet from 1/16 down to 3/64 or if you are using number drills any thing from #55 to #60. The Tiny does not take much air so the hole size is not at all critical.
If your threaded connection leaks air, a turn of plumbers Teflon (PTFE) tape around the thread will take care of it, but it probably won't leak.
Gail in NM