You can do that but you have to add the plugins and features via archives to your site.xml. Furthermore, it is important to not change the names and to include all plugins that are needed by a feature in the archive path. Here is a snippet of a real example:
<feature url="http://borisvl.github.com/Pdf4Eclipse/features/de.vonloesch.pdf4eclipse_1.0.1.jar" id="de.vonloesch.pdf4eclipse" version="1.0.1">
<category name="Pdf4Eclipse"/>
</feature>
<archive path="features/de.vonloesch.pdf4eclipse_1.0.1.jar" url="http://borisvl.github.com/Pdf4Eclipse/features/de.vonloesch.pdf4eclipse_1.0.1.jar"/>
<archive path="plugins/de.vonloesch.pdf4Eclipse_1.0.1.201111161450.jar" url="http://borisvl.github.com/Pdf4Eclipse/plugins/de.vonloesch.pdf4Eclipse_1.0.1.201111161450.jar"/>
<archive path="plugins/de.vonloesch.pdf4eclipse.help_1.0.0.201111161450.jar" url="http://borisvl.github.com/Pdf4Eclipse/plugins/de.vonloesch.pdf4eclipse.help_1.0.0.201111161450.jar"/>
As you can see this includes the feature de.vonloesch.pdf4eclipse_1.0.1.jar
from a github page. This features includes two plugins which were also added via <archive ... />.
The downside of this approach is that you must include any updated version of the feature by hand, but I do not think there is another possibility to include a foreign feature.