Maybe. But, I don't think you'll get the same effect. The aluminized mylar is only one component of the shielding. The other is the bare wire. It acts as an antenna to shunt any stray EMI signals to the receiver ground.

The shielded cable isn't really that heavy. It's only about 1/4" in diameter and the wires themselves don't weigh any more than a servo extension of the same length. So, the only extra weight is in the thin aluminized mylar, the bare wire and the pvc shell.