That sounds about right, assuming you meant 0.0003" and not 0.003".
nut tolerance: ? 0.0041"
10% of nut tolerance: ? 0.00041"
X class thread plug gage tolerance: +0.0003" (tighter than 10%)
If, for example, the certificate of calibration reports that the thread plug gage was measured to be +0.0004, that would be out of tolerance by class X spec but in tolerance per the 10% rule. As you said, you could reclassify the thread plug as a class Y since the thread plug gage meets class Y spec and not class X spec. But then the class Y spec may be too loose (ex: 0.00045") and not as tight as your process tolerance of 0.00041. This would only be an issue if you sent the thread plug in for calibration with instructions to calibrate the thread plug to class Y spec. You could potentially get a thread plug back measuring 0.00044, which meets class Y spec, but not your process spec. When you glance at the calibration cert and see PASS, you might assume the thread plug is good when it's not. What you could do is instruct your local cal lab to "limit cal" the thread plug to a specific tolerance. Give them your 10% tolerance. Or just replace it and move on with your life.