How to create custom through hole pad shapes in Altium Designer?
Figured it out!

You can do the same trick as with the SMT pads, but draw on the 'multilayer' layer.

Steps:



1) Draw Small pad with correct slotted hole
2) Draw half a circle (on the left of the left pad) on the 'Multilayer'-layer. Set soldermask / paste expansion to 'from rules'.
3) Draw the cutoff circle on the right (using circles and lines). Use Tools --> Convert--> Create Region from selected primitives to get the shape in the center of the pads, set the soldermask / paste expansion to 'from rules' for this region.

Result: