Ultimately the best way to prevent shot peening in unwanted areas is to machine these areas after peening.
However, I realize that that is not something that can always be done or maybe out of your control.
I would suggest not using PVC, it breaks down rather quickly. Try UHMW. For threaded holes us stainless steel set screws.
I might be able to help more if I had more information, such as peening media type, size and hardness and the required intensity.
