You could consider using a Listview instead of a datagrid: you can style it to look exactly the same, use ListviewControls to have the same functionality, and have the added benefit of being completely flexible in what you display per line. The same holds for the TemplateGrid element.
To answer you question yes you can, You will be able to add the associated object's attributes in DG column of the Entity as source provided,
1. The associations originate from the source entity.
2. The associations originating from other entity to source should not be "many-many or many-one" but "one-one or one-many".
I think the same holds for the source set from Database as well.
Hope this helps.
1. If you are using a Microflow as Datasource, this problem exists.
2. You can probably create a non persistent entity which stores the value of the attributes from one or multiple tables that is needed for the data grid
3. Collect the Non persistent entities in a list
4. return that list to the data grid