It’s possible to hold it that way, but it’s not a good idea. The hot shoe itself is usually fairly sturdy, but the weak point is often the flash foot/mount. That connection is designed to support the flash on the camera, not to carry the weight of a camera and lens hanging from it.

Gripping between the camera and flash can also make things worse: your hand may apply separating force between the two. If the camera slips and you squeeze harder, you could crack the flash foot, detach the flash, or drop both camera and flash.

So while doing this briefly may not always cause damage, it increases the risk of breaking the flash mount or hot-shoe connection. Safer practice is to support the camera body or lens, not the flash/hot-shoe area.