Yes, I have done it as an experiment.

I created a Document library with multi-select  field for colours

I created an XML file with the list of possible colours (a better
production approach would be to create another list, and make the
field in the library a lookup)

I created a linked data source in SPD with both the xml file and the
library

I selected Show Data for the linked data source

I selected the color field and selected to insert as a multi item
view

I clicked inside the table next to a colour, selected the document
name field in the Data Source Details pane and selected Insert
Selected Fields as > Joined Subview

This did not pick up any documents, as SPD puts in code for an exact
match. I found the SPD code and substituted a "contains" function
(so it will find the doc if the colour is one of the ones selected)

So, it's possible in a limited way, but fiddly.