I haven't done that yet, but it think it should be possible.

If it isn't possible with the internal modem, you could use an external GSM through a bluetooth connection. It takes a little setup, but I have managed to use that to call out using the GPRS connection on an external phone over bluetooth.
It is basically the same setup as we used to have on the Nokia N8x0 tablets. On these tablets it was also possible to use a normal GSM dial-up connection to your own ppp dialin server. I did set that up once, and that worked. But data over GSM isn't supported by all phones, also I believe it needs to be supported by your GSM provider, and also it is VERY slow! I believe the maximum speed is 19200 bps, but I only managed 9600 bps when i tried it (no that isn't a typo, it is "bps"!).