Yes, it is possible to load an empty <iframe> (with no src specified) and later apply content to it using script.
See: http://api.jquery.com/jquery-wp-content/themes/jquery/js/main.js (line 54 and below).
Or simply try:
<iframe></iframe>
<script>
document.querySelector('iframe')
.contentDocument.write("<h1>Injected from parent frame</h1>")
</script>