I am afraid - not at all.
My workaround are small images. You may add them to the tabs.
Just grab some 16 x 16 icons, add them to an TImageList.
This ImageList you link to the TPageControl.
After this you can select your images from within the Tabsheets.
Is quite nice, I got used to it.
Or you use one of the components around, which allow it. - I did not like one of them and forgot their names.