To begin with Power Apps doesn't support unstructured data sources such as Cosmos which means there are no direct connectors available to use. The first project I made in Power Apps used Cosmos as my data source. This meant I had to trigger a Power Automate flow from my app, then use that flow to retrieve data from my Cosmos DB, and finally return the structured data back to my app where I would then save it into a collection. The whole process made my app a whole lot slower and nowhere near as responsive when compared to using something like SharePoint. I have heard that you can setup custom connectors as well but I don't have any experience with this so can't really comment on how effective this solution is. So yes it's possible but I personally would only use Cosmos again if it was a hard requirement as the alternatives are much friendlier, and allow you to use more of the features Power Apps provide.
