Yes, and that's how you'd have to do it, though there's no way to set the heading bug on a track. Hand-fly or heading mode, but those introduce threats through a higher workload which we'd rather avoid when possible.
It wouldn't be the only area where ATC clearances and the flight management system's capabilities don't match up. Another common example is a clearance to do something until something else happens. e.g. "Climb and maintain FL350, leaving FL270 proceed direct [fix]" or "...leaving FL270, normal speed". Those clearances can't be programmed, though they can be built into the procedures in the database, so they introduce the additional threat of forgetting or being distracted at the appropriate time and deviating from the clearance. We could definitely use better coordination between ATC procedures and the manufacturers.