Of course it's possible. It's just CSS.
So, learn CSS.
Borders are just a CSS property.
It's a necessary skill if you are going to create unique jQuery Mobile layouts. Otherwise, JQM gives you a nice, sedate, middle-of-the-road look, and you don't need to know any CSS.
I'd also suggest that you learn to use Web Inspector, Firebug, etc. so that you can experiment directly with CSS changes.