Found this link to a description of a bit designed to drill square holes.
I assume you are talking drilling in steel. But why pipe is round, bolts & screws are round, rivets are round. If you are speaking drilling in wood use a mortise chisel. A round drill running in a sharpened square steel shank. The bit bores the hole the pressure on the chisel part shaves the hole square.
However the thinking that went into the bit on your link was pretty smart
but I bet when you are holding the drill you get shaken up a bit.