You might try PB Blaster Penetrating Oil to free the nipple. OR-
Put a screw tip jag on a cleaning rod, put some Super-Glue on the threads and screw it into the bullet, providing it's not a copper jacket.
If it's a sabot bullet the screw may not screw in. Tap on the rod as you screw the jag into the bullet. This will make it dig deeper.
Let it sit for a couple hours and pull out the bullet. I'd use a "T" handle cleaning rod because you may need to hammer the rod upward.
I wouldn't shoot out the load since you don't know what it's loaded with.