Yes, but I wouldn’t recommend it. If you deviate from the standard url structure, it tends to have a lot of unexpected consequences- it can jam you up on search result links, commenting, next/prev navigation. I’d advise against it.
If you really NEED the category in there (and I’ve had situations where I did)- then it’s better to tack the category onto the end of the url. That way, EE will still react to the url as if it’s a single entry page- with the url_title in the third segment. The forth segment- which holds the category- it will ignore. Unless you pull it out with segments.
How you get the category in the url will depends on where/how you’re linking. But if it’s in the weblog tag, no reason you can’t tack it onto the url using the categories variable pair:
{exp:weblog:entries}
<a href="http://{comment_url_title_auto_path}{categories}{category_name}{/categories}">{title}</a>
etc…
Really better if you have access to the category url title. But that’s the basic logic.