When I had made relatively few knives, I'd often drill through entirely after glue-up. Occasionally now I'll drill the handle material before glue-up, then drill the tang afterward through the handle hole. Mostly now I like to fit everything up "dry" to a good clean fit with fasteners before any glue, that way I don't get glue gaps or any other surprises. I've had what I thought were well clamped handles ease back from the back of guards before while gluing up. Also, I don't like drilling through wood/metal in one pass, or even metal/metal. Bits sometimes snap, or holes in softer material get wallowed a bit when the bit breaks through them and starts walking slightly when starting to cut non-punch marked harder material underneath. Undue heat may be generated, and oiling the bit for drilling the steel tang may be proscribed by the handle material.
I like the control of knowing I got clean fastener holes through everything before assembly. What if I work hardened the hole in the tang while drilling through with a handle already glued on? I don't like having the added weight and damageable bulk of a finished blade and fittings on an item that's giving me any trouble at all. That, and I like to clamp and drill the handle block often when it's still got square sides to make drilling a straight hole that much easier. And, I've drilled through finished handles before only to chip out the other side. Even a little chip out can be a hassle on a finished handle. It's not a problem at all with a rough block.
I like to get the mating surfaces to where they look good dry, drill/broach the handle block, insert the tang, maybe super glue tack and/or clamp into position, and use a sharp bit with the drilled block as a guide to mark the pin hole location(s) in the tang, then take it apart and drill the tang separately. (This also allows me to c-sink my pin hole in the tang.)
I can draw the tang onto the side of the block if left rough, that makes it easy to hit the center of the tang when drilling the block. Also, many of my blades have a soft-spring tempered tang (torch drawn from hard) and I much prefer to drill through partially hard steel in the open air.
Just my thoughts, and some of my reasoning behind them. Hope I don't come off as pedantic or patronizing.