No, for ExpressRoute it is solely based on BGP and must be sourced from what you advertise to the circuit. There is slightly confusing documentation as with a Route Table you can define a Virtual Network Gateway as the next hop, but this only works for VNG of type VPN.
Here's the exact doc on ER route advertisement for the official word - https://learn.microsoft.com/en-us/azure/virtual-network/virtual-networks-udr-overview#border-gateway-protocol