Yes. Examples include an Income class may include a "Spouse Income" property that is also of type Income; whilst an Employee class is often found to have a Manager property of type Employee.

There are no more restrictions in Pega than in any other platform on implementing this as part of your data design, although (as in any platform) you would need to be mindful to not implement a recursive usage of the self-referencing property. For example, a loop that starts with the User A's Manager (B), then proceeds to User B's Manager (C), then User C's Manager risks entering an infinite loop if User C's Manager is set to User A. 

Discussion on this topic was sought from the LSA Data Excellence (Pega 8.4) webinar conducted in July 2020. The webinar and its full set of discussions that arose from it are available at LSA Data Excellence: Webinar, Questions & Answers.