Yeah. I do it all the time. just remember it is not so great for your skin, as it still need oxygen. evry now and then, let your skin air out.
Why would you? it needs water to work effectively anyway.
Problem is you will sweat, and then it will get clammy inside. Better to wear the insulated cold gear compression shirts and running tights under the clothes to sty dry and warm, you skin will still be able to breath then.