Is it possible to create custom controls for use with VGScene? If so how is it done?
Firstly, When referencing a 3rd party library or product (especially a relatively obscure one) it can be helpful to provide a link to it so that people know precisely what you are talking about.
To answer your question, Delphi has a very open runtime library and framework architecture. If someone provides a library of control or component classes, then as long as you have access to the base class library on which they are built then you can create additional controls and components in the same framework just as easily as they themselves did.
If you have the VGScene library then I am sure you have either the documentation or the source code, or both. If there is no specific guide to implementing your own controls as part of the VGScene framework then simply refer to the source code of a simple control that they themselves provide, e.g. start with their equivalent of a TLabel, then look at more complex controls like buttons and grids etc.