Yes but it is ugly.
Make TWO labels. Let's say you wanted X-squared (i.e. a 2 superscript).
Build a label box with the X normal size. Carefully trim the size of the label box via drag-n-drop so it ends just at the end of the string you want superscripted. Build a free-standing label box with a smaller font and the "2" (or the "real" subscript) and drag-n-drop it UP a couple of clicks. (Technically, a couple of twips, 'cause that's the unit in question most of the time.) Be sure that you DON'T have borders on either box.