Simply, no. Objects can only be created from clases.
thisform.AddObject() will allow you to add a base class object, like a container.
But if you want to customise it, then the normal way is to use a class.

You could use a factory like Steve Black's INTL does, to create the dialog.
But putting in code to the methods of controls is still difficult.

It might be possible to build a .VCX yourself, after all it is a VFP table.
Then use COMPILE CLASSLIB to compile the code you write into it.
But it can cause VFP fatally crash if you don't get it exactly right.
I would not recommend it.