If the fridge has a black wire screen on the back, then that is where the bulk of the coolant lines are. Not all but most.
Work from the inside by using the hole saw with the bit retracted and cut a hold where you want the shank to pass through the side wall.
Just cut the plastic, then take a small screw driver or something similar and probe the insulation between the plastic and the outer metal skin.
If you don't find a coolant line, adjust the hole saw so that the bit protrudes and drill the metal skin from the inside until the bit penetrates the skin.
then go outside and finish the hole from the outside of the fridge. (You'll have a smoother cut this way)
You can google your fridge make and model and usually find a schematic for the coolant lines that are in the walls.