A piericng through the eyelid certainly is very rare.
Mostly there is pierced the outer edge of the eyelid. Firstly this piercing is very annoying and apart from this not harmless.
Because this part barely comes to rest and also is exposed to movement and rubbing always, the healing process can drag on considerable. Let you advised explicitly from your piercer, before you decide.
For jewellery a small ball closure ring is applied.