Yes—this is technically possible, but it depends on how the camera reads the sensor. In most digital cameras, changing ISO mainly changes the amplification applied to the sensor signal before or during analog-to-digital conversion; the light captured by the sensor is the same.

Because of that, simply saving the same exposure at two ISO values often doesn’t create much new information from a normal raw capture—you can already brighten or darken raw data later. The tradeoff is that higher amplification reduces available dynamic range.

There are special implementations, though. Magic Lantern’s dual-ISO mode is a well-known example: alternating sensor rows are read at different ISO settings, then combined into one HDR image. This allows single-shot HDR and can avoid ghosting, but it comes with drawbacks such as interpolation, reduced effective resolution in some tones, and possible aliasing or moiré.

Some sensors also use dual-gain or multiple-ADC designs to improve dynamic range from one exposure, but that requires specific sensor hardware and adds cost/complexity. So the idea is real and useful, just not standard in most still cameras.