If you don't succeed with a cobalt type HSS drill bit, try an Artu bit at high speed eg 3000 rpm.

The Artu bits have reverse rake on the cutting edge and so as to firstly soften the material to be drilled by localised friction heating, then actually drill the hole. The high speed (for Artu bits on hard steels only) is essential for effective softening of the material.

Because of the locally softened area around the Artu drilled hole, the spring material is prone to breakage after drilling, if there is repetitive flexing at that point.
If you are using fasteners, you therefore may need to support the spring over a wider area than is normal by use of washers or small holding plate etc.

Other things to try include using a HSS bit after annealing, and rehardening the material, and, making your own Artu style bit from a masonry bit.
The Artu website gives sharpening angles.

Artu association disclaimers etc.

good luck, mike