I'm pretty sure it has to be cleaned off. That coating is only there as rust prevention. Best thing to do would be to cut a couple of inches off and do some test welds.
When welding you want the metal to be clean for the best weld.. alum in steel is debris and makes for a crappy weld... can it be done.. sure.. I have done plenty at work when I was in a hurry.. didnt turn out nice but it works
I have been tig welding for years...make sure to remove the coating, even aluminum. Any kind of coating will gas off, and in some cases make you sick or can kill you!
Galvanized coatings will cause lung cancer...I know two people that died of cancer from breathing gases off of welding. Beryllium Copper will kill you dead very quickly.
Take the safe way out, always remove any coatings.
I've done it. Not the best results. TIG welding likes for the material to be clean. Aluminum and steel don't like each other when trying to weld something. Grind it off or get some raw steel pipe and bends. Not hard to find.
No weld fumes are safe. I am not suggesting that you should breathe any fumes. All I'm saying is the fumes are no more dangerous than welding either steel, or aluminum. The zinc coatings in galvanized steel are very dangerous. Never knew about the beryllium copper. Wouldn't have ever considered welding it, but glad for the info.
All I can tell you is aluminized tubing welds like any steel tubing, is sold as directly weldable, and other than the fact that the aluminum rises to the top of the puddle, working with it takes no additional steps. I've never had an issue with its appearance or strength. Your results may vary.
Use as much caution as you see fit. If you don't mind the extra work of removing the aluminum, go for it.