Installing SCGI server

Yes, you should be able to install this into a "Custom Application (listening on port)" application. First, create a new "Custom Application (listening on port)" Application through the Control Panel. Then install Apache 2 from source into the new application directory created under ~/webapps/. You would compile this something like:

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APP_NAME='modscgi' #your application name here
mkdir -p $HOME/src
mkdir $HOME/webapps/$APP_NAME/apache
cd ~/src
wget http://ftp.cuhk.edu.hk/pub/packages/apache.org/httpd/httpd-2.2.17.tar.bz2
tar -xjf httpd-2.2.17.tar.bz2
cd httpd-2.2.17
./configure --prefix=$HOME/webapps/$APP_NAME/apache --enable-mods-shared=all
make
make install

You can then compile and install mod_scgi into this new local Apache instance. When creating a Custom Application (listening on port), the Control Panel will assign a local port for use with the application. You will then want to configure this new Apache instance (in httpd.conf) to use mod_scgi with this port.

Edit: This is also semi-possible using a "mod_wsgi" application via the control panel. However, this installer does not include apxs, which is used to build modules against an Apache instance. If you are able to compile the .so module separately (or acquire it from someone), this is another possibility.