Create a node from XML on request
The short answer is: "yes, it is possible".

There may be different ways of approaching this, but one approach is to use some sort of URL rewriting (e.g. Apache RewriteRule) to let Drupal pick up the external xml file, and then have a custom module that picks up and parses the XML and programatically creates a node with this data stuffed into the appropriate fields and redirects the user to this node.

I've written a custom module for a client that does exactly what I describe above.