Yes. However, data about your visited websites wil then be stored on your local drive. This setting is therefore not recommended.

For all people, who would like to do this nevertheless: Enter about:config in the browser line, get the entry browser.startup.page and set it to the value 3. Then go to browser.sessionstore.enabled and set it true. Moreover, set browser.sessionstore.resume_session_once to false and set privacy.item.history to false.