You can, but when that would happen depends on a few things:
1) If it's already shipped, it needs to be handled by UPS or FedEx (both have their delivery system set up so if you signed up for their personalized tracking, you can do it online, if not, YOU can't do it, only the original shipper can and that would cost them, so...). Once shipped, it will depend on whether it's on a truck or not. If it's on a truck, you're done. It's out. If it's not, it'll get intercepted and re-routed.
2) If it's on a truck out for delivery and you're not home, depends on who shipped it, but most of the time it will require a signature for release and is only authorized to attempt delivery once (for instance, T-Mobile shipments are this way). Since you're not home and no signature is acquired, it automatically goes to an UPS/FedEx pick up location the next day after the delivery attempt.
3) If it hasn't shipped, you need to contact the vendor you got it from and see if they can still change the delivery method (they will not ship to an pick-up location, they need a physical address). Depends on each vendor if their policies allow that change and when they can still do it before the phone ships.