If you use the numeric control as your case selector, you can change its format to hex. When you create a case however, it should be in decimal. So yes, you can have a hex value as a case selector.
If you use a enum list, you can also change its format to hex by manipulating its Format and Precision setting. Its case would have whatever you have as text in the drop down.
I've attached a demo to demonstrate what I mean. Look in the diagram.
Hope that helps.
Shan Pin Koh