Yes, but it depends on what you mean. 
Let's say you want element A to be styled with Theme X, and element B with Theme Y. jQuery Theme Roller has this feature built in. When you go to download a theme (here), click Advanced Theme Settings on the right. Here, you can set the "CSS Scope". This will let you apply the jQuery UI classes (i.e. ui-corners-all, etc.) from a specific theme. Here is the description they give for this option:
This field allows you to specify a CSS
  scope to limit your theme to a
  particular portion of a page. This is
  helpful when using multiple themes on
  a page. If you don't provide a CSS
  scope, your theme will apply to all UI
  elements on a page.
In most situations, you won't need to
  specify a CSS scope. Please Note: If
  you provide a CSS scope, you will not
  get an example page included in your
  download.
You can also change the Theme Folder Name:
This field allows you to specify a
  name for the theme folder in your
  download. This is helpful if you plan
  to use multiple themes on a page. It
  defaults to "theme".
If, however, you want to create a brand new theme, borrowing bits and pieces from several themes, you have two options: edit the CSS and image files yourself (not recommended), or use the Theme Roller tool to create your own.
How to Use:
CSS Scope is just a CSS selector. Let's say that theme X should apply only to all elements with class aClass. In this case, your CSS Scope would be .aClass. So, if you want to add rounded corners from theme X to an element (assuming your CSS Scope has been set to .aClass), your HTML would like something like this:
<div class='ui-rounded-corners aClass'>
    Content    
</div>