I am not clear about the requirement. If it is dependent lookup then, yes it is possible.
Example, you have 2 lookup fields one for country and one for state, depending on which country is selected , state should only display states for the selected country. If it is not , please give an example.
It is not dependent lookup
Eg: we have values a,b,c for field xx in drop down.
Requirement is to select both a and b values from drop down.
No that is possible. Lookups are foreign keys and in RDBMS one column can only point to a single FK row.
1. create multiple lookup columns or
2. create lookup values with the combination (a, b, c, ab, ac, bc etc)
As rightly pointed by David, MDM is RDBMS based application and the lookup values are FK based, it will not be possible to select and store more than 1 value in the database column.
However, you can try to either define more than 1 database columns so that the user can select different Code in different columns, or you can store all the permutations of the different lookup values in the lookup table so that user can select either a single Code or a combination of Codes.