I don't think so. Polyethylene is made by polimerising ethylene, so you'd need to find a way to convert cyclohexane into ethylene. It's simply more practical to crack either naphtha or ethane to produce ethylene.
Also, the industry already has a good use for cyclohexane. It's the feedstock for nylon.
I always hate to answer an "Is it possible..." question with a "No" unless there is a really good reason (such as a violation of basic physics/thermodynamics/...), However, this webpage - http://chem.chem.rochester.edu/~chem421/rop1.htm - gives a good explanation as to the impracticality of the effort.