More than likely
There is certainly nothing stopping you doing this in theory, but some of the virtualization technologies do not have the support for per-VPS firewalls.
Any of the systems that have each guest run its own kernel, such as Xen, VMWare, UML or KVM will support guest firewalls, because it is an OS level feature.
OpenVZ is a less cut and dry as all the guests use the same kernel. Thankfully OpenVZ does support guest firewalls, but this is configurable, so it depends on how the host is set up. You might find only some modules are available, but a quick chat with the hosting provider is often enough to sort that out.
Personally I have used firewalls on both Xen and OpenVZ guests and it all worked as expected, just like it does on a real machine.