Yes, but, not with the same texture, you must to apply the Cubemap in other object, and do Alpha in this other object...
Ex.:
Car = LoadMesh ("Media\Car.b3d")
CarCubemap = CopyEntity (Car)
EntityTexture Car,Car_Texture
EntityTexture CarCubemap,Cubemap
EntityAlpha CarCubemap,alpha#
Ex.:
Car = LoadMesh ("Media\Car.b3d")
CarCubemap = CopyEntity (Car)
EntityTexture Car,Car_Texture
EntityTexture CarCubemap,Cubemap
EntityAlpha CarCubemap,alpha#