is it possible to change mouse icon in opengl?
Yes.You can load an RGBA texture and use from the alpha testing and/or blending to draw the texture of your icon . the X and Y positions of your mouse specify the position of your texture. But before you draw your texture, you should convert the y coordinate of your mouse to the y coordinate of OpenGL.
Typically the mouse cursor shape is controlled by your windwing system and OS
So you should be able to simply call the relevant function for your windowing API