What about a bit of lanolin on the thread to lubricate it enough to pull through ? You can find lanolin in the baby section, near where the bottles would be, of most large chain stores. Breastfeeding mothers use it as protection from overworked, dried skin on their nipples.
I don't know how this would affect your leather, but being as how it's a natural product, I don't see where it would leave any type of greasy spot like Vaseline or leave some type of stain .. it's also very thick ,not like petroleum jelly..and a little of that stuff goes s long way, as I mentioned before, it's very thick.
Also, (and I know this is a bit outside the box) but know how slippery silicone based personal lubricant is? Not water based, but silicone ,maybe partially coat the thread starting at the very bottom of the needle in some of that? It could help it slide right on through!
So, if either of these is a really bad idea please be easy on me ;),because I'm not very experienced in leatherwork but my dad did a lot of leatherwork when I was a young girl. I've witnessed him using a few "outside the box" techniques while working on a project. So I'm not entirely sure if or how it may help or harm, those more experienced in this may know, but that's just what came to mind while reading your question.