yes, It is possible you just need to give the URL to the page in the properties section and also give access to the anonymous user for this page. I have attached the screenshot for a better understanding
Martin,
You can add a URL to pages. If you create a page, give it a URL and make it accessible to anonymous users, I think that will meet your requirement. More info on Page URLs here: https://docs.mendix.com/refguide/page-properties/#url
Hope that helps,
Mike
***EDIT***
These steps should enable you to see your custom login page when not logged in.
Then create the anonymous page with a page URL
When I enable anonymous, how do I force it to goto the login page?
I am currently using the default Mendix login, which I think is not really accessible in Studio Pro?