With a little bit of ingenuity on the user's part, I can see where one could mount something without using a 'normal 'mandrel. It would require one to be very careful in the 'centering' of the piece, but it could be done.
Being that the travel of the Dremel tool is adjustable one would not necessarily have to 'center' the front to the back the of the piece being cut, BUT the diameter definitely needs to be firmly centered.
Turning of the mounted piece would also need to be very carefully controlled as to avoid any changes (slippage) to the area of the next cut.
Two limiting factors in mounting to the Pen Wizard are the diameter of the piece and of course the length. Anything over 1.125-1.5" in diameter and interference will come from the depth adjustment guide, and the length will be limited by the width of the 'opening' between the Pen Wizards inside wall edges, about 10" or so.
Think about dead centers on a 'real' big lathe. The dead center is no big deal, but the Indexing Shaft to fit ... that's the dilemma you have to deal with. A 'jam nut', hummmmmm ... and the problem grows and grows from there. Just go ahead and drill a hole completely through the piece for a mandrel, do the embellishments, then re-fill the holes.
Talk with YoYo Spin (IAP member) about your ideas/needs and see IF he has any ideas. Better yet, contract with him and his Rose Engine.