Can you take a penalty off the tee and head straight to the drop zone? (

Playing with my friend in a stroke-play event, he came to the 17th hole four shots ahead of the field but with only one ball left. Not knowing if the rules allowed for borrowing a ball from another player and facing a long par 3 over water, he asked whether he could bypass hitting his tee shot and head directly to the drop zone across the water, lying 3, to prevent the possibility of losing his last ball. He would still have a two-shot lead, with a much safer shot to the green. Legal? Creative thinking in any case, no?

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