It's a "healed" bullet, similar in design to a .22 Short. And, no, there's no Big Lube®LLC design bullet for it. The big advantage to rimfire ammo with healed bullets is their ability to feed very well in lever 'repeater rifles, which the Henry was. The big disadvantage to this ammo to SASS shooters is the inability to reliably reload rimfire ammo.
DD-MDA