No it is not possible; and using regular expressions in replacement field actually does not make sense: regular expression is a mask that should match something in searched text - something not suitable for replacement text. It doesn’t make sense to use \s there (meaning “insert unspesified spacing character”). It is possible to use \n and back references, though.
What you are asking about is not using regular expressions in replacement field - but rather having ways to express some specific characters there that have dedicated syntax in regular expressions, like unicode codepoints, but aren’t accepted in replace field. You are welcome to file an enhancement request.