No, it isn't. That's a legacy thing. When the first camera with custom modes was introduced (the 40D in 2007), there was no quick control screen. Thus there was no other way to select an exposure mode than by turning the mode dial. Since the custom modes also were located on the same dial, it was for physical reasons impossible to select a mode from inside a custom location, since you had to leave that custom location to access the mode you wanted.
Now, when we also have the custom control screen, accessible via the Q button, it would be technically possible to use that screen to change the mode as well. At least when inside a custom memory location. All current cameras except the 1DX prohibits this when outside a custom mode, since then you again have to physically rotate a dial to select the mode. I can understand that Canon for the sake of consistency have kept the same limitation also inside a custom mode. Doing the opposite would probably have rendered even more calls to the support lines.
Now the 1DX doesn't have any mode dial, and does already today allow you to change mode without even using the MODE button, as it's possible to reload a saved configuration from a file on the card. But, again probably for consisteny (I don't know - I work with product development, but not at Canon), you can still not change the mode via the quick control screen, and thus it's not possible inside a custom memory location either, since they are all selected through the MODE button and then rotating the main dial.
Recently, Canon has shown that the fact that other manufacturers are chewing on their market shares have introduced a more relaxed attitude towards moving outside their traditional bounds of design, so maybe they could give up this constraint on popular request as well. But it will then probably be for the 1DX only. It's technically possible to allow it on the Cx settings only, but I doubt they'll do that on a camera where it will be impossible on all other mode settings, due to the constraints imposed by the physical mode dial.