This is a question that comes up occasionally and the short answer is: Yes, it is possible. It is not recommended since the tags would likely get overwritten in an update. The note TagIcons are located in:
C:\Program Files\Paratext 9\ProjectComments\TagIcons
Basically they are a series of numbered png files that currently are numbered through 18. You could create additional numbered tags (19...., 20...., etc) Note that you should create at least the 1, 4, and 5 forms of any new tag. This gives the format for other user and resolved.
If you create a new icon (or color), you should start by copying an existing .png file to use as the base of what you do. In my test I edited the .png file with paint.net.
Again, I would caution that while this is possible it is not recommended.