It's absolutely possible. You just have to be willing to incur the extra overhead of looking up the reference URL in one document, so you can find out what secondary document(s) you need to make another XMLHttpRequest for.
Where I work, we used to have a 2MB master XML file. I ran an experiment in PHP where I broke that file up into many smaller chunks. I saw performance improvements of 20x or better, trying to get the data we needed. So yes, sometimes breaking up the data set into smaller files is a good thing.