Can a dNTP be built into a RNA strand?
This is rather easy to do if you synthesize oligonucleotides chemically and not enzymatically. This is typically done using phosphoramidite chemistry, and it allows for the synthesis of chimeric RNA/DNA oligos. You can even incorporate modified nucleosides like 2'-O-Me or LNA.

This is typically done if you want to change the properties of an oligo, e.g. if you want to make it resistant to degradation by enzymes.