Gary,
Even if you could I wouldn't. It may be okay by one method or another to do this for layouts etc, and NX provides some methods by which it may be done, (not I suspect as you described), but anyway there is probably a short term use for it. However in the long run for other users to pick up your data and work with it is very difficult to expect them to maintain the reference sets as you envisioned they should be used. Many sites disallow the use of reference sets in assemblies because it can lead to confusing behaviour.
Perhaps if you could say why you wanted to to this it would be help us to suggest solutions. I suspect there may be a better way around whatever your problem is, or at least something perhaps less fraught with downstream angst.
Cheers
Hudson