You are correct when you say that a fly caused it. It is called a bot fly. I believe that the fly lays a egg on the antler when the antler is in velvet and when the worm is born it burrows into the blood rich antler and turns into a cocoon and then hatches into a moth. When the velvet is shed a hole is left in the antler.
I just gotta call BS on this one. Who told you that line of crap? The common holes you see in some antlers are caused by injury to the horn while in velvet.