I guess everything is possible in a Lucid Dream, but building your own planet would probably "feed" on your Lucidity as it would be such a hard task to do.
I've heard that building your own planet in your head whilst trying to get to sleep can help induce an LD. That's just a rumour though
Maybe someone could try building their own Dream Planet next time they become Lucid and then post their results the following morning. I'm interested