No, we have tried to, in 2008-2009, as part of 2.4, but it became a very complex and painful process, and in the end the idea was abandoned. It's as difficult as deploying Jboss into Tomcat, or running Glassfish as an application in Websphere.
Mendix is not a J2EE application, it does not use Servlets and EJBs etc. Mendix is an application server (M2EE, with a wink to Java EE ;) ) for running Mendix applications.
Mendix can run stand-alone, it doesn't need an application server. The Mendix Business Server contains a built-in Jetty webserver to handle incoming requests.