Displaying a Page Before Drupal Bootstrap starts
To precisely answer your question, Yes.  If a file exists, drupal will not get involved.  Therefore, if, for example, you went to www.yourhost.com/splash.php, and splash.php existed in your web root/directory, it would be run without drupal getting involved.  In there, if you had a link to www.yourhost.com, where drupal's index.php exists, then upon clicking that link, drupal would bootstrap up and do it's thing.

If this is not what you are asking, you could investigate the Front module that allows you to have different front pages based upon roles.  Here, you could, for example, have a fancy splash page for anonymous users that goes away after they login.

If that doesn't work for you, then you could fake this out in a custom module using your own custom logic in either the boot() or init() hooks.