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, sucks 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.