I dont think you can enter machine or system data in PU in ETAP. However, it is easy to convert from PU to equivalant Impedances based on the Base MVA and kV.
@ Bilawal In those conditions I think you can consider the MVA rating of the Transformer/Generator as Base MVA and corresponding Machine's rated voltage.
In most cases as @sujith said can be used, that is because if no base value is given and all the values are in pu then any value can be taken as base but most of the time the transformer/generator value is taken if given. Also taking an arbitrary value depends on logic of the programmer. But most of the time its set default and hence like @vipin said no need to set it and you will get correct answer. Now if you are thinking about transmission line all the values are set according to the cable selected and length of cable.
For machines (Gen., Motor & Transf.) normally the date is fed as % which is equivalent to PU (i.e. 10% = 0.1 PU). However, for cables and transmission lines, you need to fed the data in actual Ohms. the conversion from pu to ohm or vice versa, is very simple and straightforward.