If I am understandiong your question then your axes will be the same I would think, ie the Z will be the axis that drills, just as it is on a lathe.
The toolpath display however may show incorrectly in relation to orientation and nothing you can do about that except turn your monitor 90 degrees and make a new screenset up to reflect that.
As far as I understand, Mach4 will allow toolpath rotation but Mach4 is not here yet and when it will be no one knows.
Hood