I think it should be possible, as SDL supports BeOS and all other libraries openMSX requires should be portable enough to compile anywhere.
First step is to make BeOS a recognised platform. Edit the file "build/detectsys.sh", look for the line that says "case "$GUESSED_OS" in" and add a case for BeOS. Probably this will do it:
*beos*)
OPENMSX_TARGET_OS=beos;;
Next step is to create a platform specific build file named "platform-beos.mk" (also in the "build" directory). It is probably easiest to take "platform-linux.mk" as a base and change things that do not work.
Please set the environment variable OPENMSX_FLAVOUR to "devel", this gives you a build with asserts and debug symbols, so it is much easier to investigate problems should openMSX compile but not run.
The openMSX build system uses the lib-config scripts to find the libraries it needs, for example for SDL it looks for the "sdl-config" script, so make sure those scripts are in the $PATH. The logging for the "conifgure" process can be found in "derived/x86-beos-devel/config/probe.log", this contains the exact error messages if openMSX fails to detect a library.
Please inform us of your progress. You can post here, subscribe to the openmsx-devel mailinglist (via SourceForge) or join #openmsx on freenode IRC. I won't be on IRC much tomorrow, but usually I'm there every evening. If you manage to get openMSX working, I'd like to merge your changes into the main openMSX tree, so we can support one more platform out of the box