I don't know about through VisualLisp, although there are some external applications that can do it, as I have seen some where the cursor was changed.
I have tried to duplicate it with an external application but the way AutoCAD deals with the crosshairs, you would need to have some serious event trapping and that makes it a bit more difficult than I really cared bother with ... after all, it wasn't really that important to me ....