Yes, you can run whatever you want with a run step
env:
JULIA_CMDSTAN_HOME:"$HOME/cmdstan-2.24.0/"
[...]
run: |
OLDWD=`pwd`
cd ~
wget https://github.com/stan-dev/cmdstan/releases/download/v2.24.0/cmdstan-2.24.0.tar.gz
tar -xzpf cmdstan-2.24.0.tar.gz
make -C $JULIA_CMDSTAN_HOME build
cd $OLDWD