You don't give much idea of size, but......
1) I would first do an "exploratory" with a self-threading screw up the middle. Not too tight or you risk expanding it and making it tighter.
Have a slide hammer ready just in case you get some grip. ideal to have vice-grip jaws on it.
Stop before damage.
2) after that, I'd try a drill bit sized to just a bit larger than the centre hole, go slow again maybe it'll catch and pull before cutting.
drill press preferred so it can pull a little
the roll pins I've tested here are fairly hard, so do NOT use a good set of drill bits.
3) depending on what the part is I'd consider drill from the blind side and punching it out
4) put a tig welding rod into the roll pin and light-up on it just enough to get them stuck together, then pull out with rod
I wonder if similar could be done with JB-weld after a good de-grease and dry......
-brino
EDIT, one more:
5) if it is truly "just because it bugs me" and causes no functional problem, then forget it and move on........