Yes, at least with the separate paintshed program and 2004. Just go to TrainzPaintShed\Interfaces\logos and you will see a long list of available logos as .bmp files. Just add the logo you want as a named .bmp file and then it will be available to you in PaintShed.
Personally I always found it easier to just save the asset out of Paintshed without the logo and then open up the main tga file of the asset and add the logo there, along with any weathering or stuff I wanted to do.