That is possible, but it could also break the update process. If a file is suppsoed to be over-written and it can't be it will throw an error and the site will either show that error and the update will fail or it will just die.
Even if it did work, there's also other problems can can happen if the file that you block from being editable contains the version numbers or anything else that's needed by the system. If you stop the version numbers updating in the system so you'll be asked to upgrade again, and again, and again... There's a lot of other things that can go wrong too.