I am not an expert but from a quick look at the code it does not look like it is possible, although it would be a nice feature.
The workaround is to comment out the line PGFPlotsX.jl/src/tikzdocument.jl at c46316a588c9882d5996e71535bf691cce523cc7 · KristofferC/PGFPlotsX.jl · GitHub and add a println(tmp_tex) to know where the temporary file is stored.