many thanks for posting this very interesting technical question on RG. As you already mentioned in your question, acetone and DMF are certainly the best solvents for PETN (pentaerythritol tetranitrate). However, both are also miscible with water. I recall the methylacetate has also been recommended as fairly good solvent for PETN. However, as far as I now, methylacetate itself is also miscible with water. If you are looking for a solvent candidate which is not miscible with water, I suggest that your try dichloromethane (DCM).
Good luck with your experiments and best wishes, Frank Edelmann