Yes you can. Just create new CDbCommand with new CDbConnection:
$cn = new CDbConnection();
// set connection string to connect to the any database you want
// replace host_name and database_name with real values
$cn->connectionString = 'mysql:host=host_name;dbname=database_name';
$cn->active=true;
$command = new CDbCommand($cn);
// replace col_name, table_name and some_value with real values
$command->select('col_name1, col_name2')
->from('table_name')
->where('col_name3 = some_value')
->query();