It's possible to construct one using a lot of points in a collision polygon, which is highly inefficient considering the high point usage, and would probably be a good idea to just use a few different sprites to create an enclosed area. I personally don't know if I'd ever use this feature if it was added, but I definitely would find multiple collision boxes with tags to be useful! (which also has it's own workaround already, by pinning other sprites onto one object)
Here's a capx of the (not best) workaround to make a hole in the collision mask (when making one yourself, make sure to put the overlapping collision points exactly over eachother, under/overlapping the area in a collision polygon will cause it to not be detected.)
Hope this was helpful!