It would be possible to build such and adapter. It would depend on the rating of your drills and how you want to plug in the power.
Either way a cordless drill has a DC motor so it will require a step down transformer and a full wave bridge rectifier. Probably also need a regulator and a few capacitors. You might be able to use the power transformer from a laptop or some other device. But the voltage must match the drill and the ampere requirement must be very similar (more you can fry the drill less you can fry the power supply.)
As for how you attach the power supply I would recommend building the interface out of an old battery pack so you don’t have to modify the drill. But it should be possible to add an auxiliary power jack to the drill as well.