Yeah, #000 exists with 120 TPI.
Looking them up on
www.McMaster-Carr.com is a fast way to find the basic dimensions. For more details consider picking up a copy of the Machinery's Handbook, now in it's 27th edition. I recommend the large type version. It's got more information than you'll ever need on mechanical stuff if you take the time to look through it. Although, at $60 from amazon it may be better off as a team expense.