Consider fixing a thin batten to the plasterboard first with several lightweight fixtures and maybe even glue to the plasterboard. This will spread the load over a large area. Also means fixing blinds to a wood batten is far easier than to a wall fixture which is bound to be slightly out of alignment !
Funnily enough I thought about doing this for the windows at the front of the house, where the lintels are actually Finlock guttering made of rock-hard concrete, but in the end a hefty hammer drill and a brand-new bit did the job.
Many thanks to everyone for the thoughts and suggestions. The blinds are now up, securely (I hope) screwed into conventional wall plugs stuck into very slightly oversized holes, and extending through the plasterboard, the gap, and the steel.
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