yes, it's possible. You could make your entire piece within Zbrush however you'd have to consider a few points
1)You'll have to be VERY good at creation your base with Zphere **specially** with the head. As I came from the 'traditional' system (push, pull and cut edges)
I do prefer making the base head with other application and then re-import. I recently saw a sculptor saying he makes the model with Chavant clay and then pour the castilene in the mold and refine then.. It's something like that, I make the base shape another program and use Zbrush for refinement and add detail where other programs can't.
2) Shading and Texturing are both different. In Zbrush you can apply shading but this shading will not be recognized in any other application. You can texture in Zbrush and export the map and use in other application as well. In this case, you'll have to consider one thing: Zbrush offers two method of UVmapping, Group or Adaptive. Both methods will be very very hard to open in Photoshop and retouch it.
If you plan to animate, I'd recommend you to do the follow: Make your mesh in a 3D app, make an excellent UV mapping ('cause it will store your displacement information and texture) and only then export, esculpt in zbrush
and send it back.. this way you will get:
1- a nice and clean mesh to control and deformate
2-an UV mapping coordinate that you can easily tweak in photoshop
I'm not sure how much you are familiar with 3D but I can post some images if you are confuse about it