No, thats impossible. But something that can happed though is called Fetu in Fetus. This is where the mother started out with twins (which many mothers do, but the other twin usually dies beofe anyone knows that a twin even existed) and one of the twins got folded up in the other. Thus meaning that the baby the mother is having, is pregnant with its twin. If you care to look more into it, here is a website
thefetus.net/page.php?id=287
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