It is possible but multiple worls will have consequences for the physics engine (if you are going to use phyics). When you create game, you create a 'world' which is similar to an empty void. What your create inside it is up to you though. The engine does not have build in planet orbiting systems, planet based wheather systems or partial level streaming. So it is technically possible, but you will have to build it yourself.
Have a look at this video: