You can, but you’ll need to take special precautions. A scroll saw’s oscillating blade produces enough heat to melt the plexiglas rather than cutting it, making for a messy finish and potentially a damaged blade. You can prevent this by taking steps to keep things cool: Leave the backing paper on the plexiglas as you cut, and apply masking tape too - this dissipates some of the heat. If you have a compressor, aim a jet of cool air at the blade as you cut. Lubricate the blade to reduce friction, using a dry lubricant such as WD-40. Use a fine blade to avoid chipping and shattering.