It sure is. We have completed this exact thing (federated search with Azure Search). One example is at https://asm.org/. The 4th result for search "water" is an external site result from another domain. Nothing really tricky to getting it working, you just provide the information into the index, and control how the front end renders the result. We ended up hitting the other site's API, caching some of the data for some time in a custom table, and then included the custom table data into the search index through the Azure Search Index we had running already in Xperience. This is only one way to do it though.