It is not possible for the same application to connect back on itself. This would be completely redundant anyway as your should detect if this is the case and achieve the necessary functionality in your application directly.
It may be useful however to know that you can trigger packet handlers locally using:
NetworkComms.TriggerGlobalPacketHandlers();
and
Connection.TriggerSpecificPacketHandlers();
If you have any further questions please feel free to post back.
Regards,
Marc