Some/all of the later ones just had a plug in the manifold port.The item you have circled is the EGR tube fitting in the left side exhaust manifold. I assume you have an 86 or 87 engine because later ones don't use EGR.
Leave it to Ford to do something like that. Wonder if it could be like British Pipe Thread or one of those other oddball to us deals. There may be a work-around that way because that sort of thing is available, just not at a local store.I'd almost best it's some special thread. I got a set 95 4.0 manifolds and had to drill/tap for pipe thread to fill that hole.