Sorry I did not fully understand your requirement.
No not for featured image but you can make it look like a featured image by placing it in the same location as the featured image.
But there is a little trick you can play. Go select any current image on your site and set it as your featured image. Then switch your post edit from Visual to Text mode and you will see code similar to mine as shown below: -
<img class="alignleft size-full wp-image-4205" title="li07bl00thumbvc" alt="how to make oregano liposomal vitamin c" src="http://bachutha.com/wp-content/uploads/2012/11/li07bl00thumbvc.jpg" width="300" height="300" />
You will see that WordPress uses a class, don't touch that. Then you will see that src shows where the image is located. Change the src value. I changed mine to http://www.dpawhs.com/pix/computerpix.jpg which is an image from another site of mine (non WordPress site). My new HTML code for the featured image was:-
<img class="alignleft size-full wp-image-4205" title="li07bl00thumbvc" alt="how to make oregano liposomal vitamin c" src="http://www.dpawhs.com/pix/computerpix.jpg" width="300" height="300" />
Make sure if the image is different size correct the values for width and height and save the post. Then view the post like a visitor and you will see the image from the other website showing up.
A word of advice at this point, your pages will be slower as the web browsers will request the image form another site and not form your site's harddisk. If the other site stops working or crashes or goes off line your pages will have blanks where the images were supposed to be.
Hope this helps.