In theory, It is possible, however some form of sentient species would have to build it as planets form from planetoids, which form rocky space debris, etc,etc. It's center of gravity would have to be at the centre, and to prevent water fusing under this pressure, you would have to 'pulse' the entire planet with an intense pressure wave every second or two, creating massive fluctuations which would prevent nuclear fusion occuring. This could be acheived by having about ten moons with highly elliptical orbits with huge masses, and time them to create these fluctuations. That project would be a bit of a waste of a few millennia ^^. Any questions?