Not in a standard data grid. Take a look at https://forum.mendix.com/questions/14122/How-can-we-place-check-box-in-a-Data-GridHow-can-we-select-multiple-rows-in-a-Data-Grid which seems to be a similar request
Look at the Flex Headers widget in the Appstore. Properly set-up this allows you to have a action-button in a gridline, which can be set-up to work like a checkbox