Good point 2sheds - so I winged SRG an email and here is what came back.
Your query has been forwarded to me for a response. The short answer is that each digit should be pronounced eg WUN ZERO ZERO ZERO.
The reference is CAP413 Chapter 2 Page 3 paragraph 1.4.2 (a) which says
that "When transmitting messages containing .....altimeter
settings.....each digit shall be transmitted separately;..."
The circumstances in which WUN TOUSAND should be used are outlined later
in the same paragraph (1.4.2 b) and do not include altimeter settings.
In practical terms, there would be a risk that if WUN TOUSAND were used
to pass an altimeter setting, this could be mistaken for all or part of
a level instruction.
I hope this answers your query. Please do not hesitate to come back to
me if you require any further clarification