Efficiently heating an unfinished basement room
Yes, assuming your furnace is adequately sized to also heat this additional space, it should be fairly easy to add ductwork that serves it. Controlling it as an independent zone may be more complicated: because it's a small room, if it's calling for heat when the rest of your home is not, your system might be significantly overpowered for that zone. That would mean too much heat and too much airflow trying to go to a smaller space. There are solutions for this (multi-stage furnaces, bypass dampers, etc.) but they add cost and complexity.

To judge the capacity, calculate the heat load for your home and for this potential added room. Ideally, you can work out the details of how much airflow you'll need to this room and what size ducting would deliver that. You will get more airflow here because you're so close to the blower.

If the system is powerful enough, you can add supply and return ventilation to serve this room to an existing zone. You can use a manual damper on the supply vent to shut off this area if you're not planning to use it for a while. The downside here is that if the room is cold and you want it warmed up, you'll have to warm up the rest of your house too.

Other options to consider:


Electric heating. Expensive to operate, but cheap to install, heats up fast, and provides great room-level control. Electric baseboard is the standard option but you can also do an electric heater with a blower or even under-floor electric heat.
Electric heat/cool systems. If you're likely to want cooling in this room in summers, mini-split systems are available that can heat (air source heat pump) and cool. That might not be a great option for you because air source heat pumps don't work well in very cold outdoor temperatures.
No built-in heating. You can heat a small room fairly effectively with a plug-in electric heater when you need it. You'll likely get a lot of residual heat from the furnace nearby. Maybe once the room is insulated you will be content with a $20 plug-in heater and a warm sweater?
Single-room heaters using other fuels. You can get wall-mounted gas heaters, maybe even kerosene or wood pellets. You can get a wood stove.


Lots of options. The key question may be how you use it. If you're using it frequently, adding the room to an existing heating zone is probably best. If you're using it rarely, electric baseboard is a solid overall option.