No. You shouldn't have to remove the pan.
You will have to install a Heli-coil insert. Go to the local Napa store and explain what happened. They will sell you the appropriate hardware.
You will have to remove the bolt first. Pry it out as hard as you are able while simultaneously spinning it counter-clockwise with a socket wrench.
After it is out, you will drill it out and tap it using the special tap that comes with the heli-coil kit. You will have to go with an oversized pan drain bolt when done.
Make sure to flush out any metal filings after done before you start it up.