Well seeing as you have described exactly what you would logically expect to do given the way Rockbox works, why not just try it?
I just have, it took less time to do than it did to write this response and the result was...
no, it doesn't work.
To be slightly less flippant, I don't think it's possible, but only because it has not been thought of/coded. Given that a playlist entry is only a path to a file, I see no logical reason why it couldn't be coded.
Look in Flyspray at the
Feature Requests and if it's not there, put a request in.