Drilling through fridge walls is a model-dependent endeavor. Some fridges use the side walls as radiators, some have an external radiator running up the back, others have a radiator under the bottom (those usually also have a cooling fan).
If you don't see an external radiator either behind or under the unit, you can be pretty sure its integrated into the chassis to use the side skins to dissipate heat. You can verifiy this by turning the unit on and feeling the skin warm up. If that's the case, you can usually find a safe spot to run a 1/4" flare threaded bulkhead through the back wall, then you can use FFL connectors (nuts and barbs) to hook up your tank on the outside and your manifold on the inside.
I've done exactly this on both of my beer fridges and my keezer. I prefer having tanks outside chillers...
Cheers!