Yes, you can build a double rifle that works with rimless cartridges.
Sometimes the simplest solution is best, stick with rimmed cartridges and avoid the additional minor challenge of rimless cartridges.
You are building a double rifle, saving on ammo costs is a false economy. If ammunition economics is important to you there are a number of common rimmed cartridges you can choose from.
You can regulate the gun for a factory cartridge, but many double rifle guys go ahead and create a custom load to get the best accuracy.