Yes, if you do it at the same time as a liner replacement, and you measure for the liner to fit over the step, absolutely. Here is a job our team is working on in Michigan this season where we added a concrete step!
There are also “wedding cake” steps that can sit in a corner of the pool on top of the liner. They’re typically made of plastic and are weighted down with sand bags, so no renovation is needed. A wall can also be cut and a fiberglass step can be added into the wall, but this would also be done at the time of changing a liner.