You'll get nasy IllegalStateExceptions is you do try.

java.lang.IllegalStateException
at org.jboss.tm.iiop.client.IIOPClientUserTransaction.rollback(IIOPClientUserTransaction.java:369)
at org.jboss.ejb3.test.iiop.unit.IiopRemoteUnitTestCase.testTxPropegation(IiopRemoteUnitTestCase.java:260)
at junit.extensions.TestDecorator.basicRun(TestDecorator.java:22)
at junit.extensions.TestSetup$1.protect(TestSetup.java:19)
at junit.extensions.TestSetup.run(TestSetup.java:23)
Caused by: org.omg.CosTransactions.NoTransaction: IDL:omg.org/CosTransactions/NoTransaction:1.0
at org.jboss.tm.iiop.client.IIOPClientUserTransaction.getThreadLocalTerminator(IIOPClientUserTransaction.java:164)
at org.jboss.tm.iiop.client.IIOPClientUserTransaction.rollback(IIOPClientUserTransaction.java:364)
... 22 more