Page 59 of the Pen-F manual states it is possible. Like Ritter, I would've been surprised if this wasn't the case. Anyway you can check out the manual for more info on its features before making a final decision.
http://download.aws.olympus.eu/consumer/manuals/cameras/PEN-F_MANUAL_EN.pdf
From the manual, when shooting in one of the color or monochrome modes: "Images taken with [RAW] selected for image quality mode are recorded in RAW+JPEG format."
Excellent!! Exactly what I was wanting! Thanks for the link!