The possibility of creating a smart list report depends on the logic of the data connection that you're thinking of. Primarily, you can create any report that you could logically retrieve through an SQL script. This means, if the data is not "logically" connected, you will not be able to create such a report.
For instance, what is the logical connection between an Inventory Adjustment "performed for Stock count purposes" and a customer number ! There is no logical connection at all. On the other hand, a sales transaction "invoice" will withdraw items from inventory.
Therefore, if the data is logically connected, you wouldn't have any technical limitation. Please provide us with further specific details on the report you're thinking of so that we could provide suitable solutions.
Helping Note !
Creating a custom smart list can be applied through "Smart List Builder". On the other hand, GP Smart List, has a set of predefined smart lists that can not be modified, but
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