I have two Zenith carburetors here. One isn’t threaded for a main jet, the other is threaded for a jet. ( I suspect it’s an older carb off my 1936 4G-D4.) Is this normal for the older carbs and can I tap threads  and use the brass jet and correct needle?

I just had a 4G parts book sitting on my desk and looked at the carbs. It looks like none of the 4G carbs used the jet you are taking about. It also looks like all of the U series tractors did, but they also used a different lid for the float bowl. It is your carb, do what you want with it, if it was me I would use the correct adjusting needle with the correct bowl for it and run it.
Ken

There were two or three versions of that jet.

The one without a thread mates with a straight round rod with a hole at the bottom and another hole at the side, and a knurled threaded knob on top which screws into the top cover.
That is the older style..

The one with a thread and a brass jet in it mates with a round rod with a tapered tip, This rod is either straight with a knurled knob like you have on the photo (earlier style) or connects to a right-angle adjuster on the top cover (newer style).

Straight-style lids should be compatible, I don't think they would have changed the thread size, but not 100% sure.
Right angle adjuster style lids won't work as they require right angle adjuster and the hole for straight up adjuster is not threaded there.

I would not go threading holes for the newer style jet, just use the original style non threaded hole with original adjuster jet.

Thank you for the clarification on the two carburetors. I’ll match up the correct parts and go forward from here. I wasn’t paying attention when I disassembled the two carburetors. 

Thank you. Good advice. I have carburetors parts from three pony engines so really not sure which came off of which tractor. I watched Squatch Senior’s videos multi times trying to figure the difference in these carbs.