i think sem makes some weld through primer. http://semproducts.com/Catalog.asp?prod=140 should be able to get it at your local auto paint store.
Like everyone else auto paint store. the sem brand works decent for mig, ****s for tig. also READ THE WARNING ON THE CAN the fumes put off from the stuff is pure toxic
Well, that sounds like a great product then. It works and maybe saves a little time, but it might kill you - great. Man, if that is the case, might just be better to just clean the metal properly and prime after welding.