You can play .roq files, like the CoD2 intro sequence when you first start the game, but only fullscreen.
You can use atlas-textures to play 'videos' or more gifs.
However you have to export every frame of the video into such an atlas texture.
I've done it with something like 144p resolution or even smaller, as these textures grow really big really fast.
It its possible - yes, but not really practical.