Although i only know the other direction from experience: Yes, that should be possible !
You need to have your bootloader unlocked and while being on CN ROM it must stay this way. I guess this is the only disadvantage as there may be apps like banking apps that detect this and refuse to work. Other disadvantage will be that only languages available are Chinese and English.
Mobile Bands should not be affected, as this is hardware related.
Maybe the best compromise is to unlock bootloader and flash Xiaomi.eu ROM as this is based on CN ROM but offers the benefits of a Global or EEA ROM (and more )....