Yes, it’s possible just to have a “natural” pond with just clay holding the water , however more often than not a natural pond has an input water flow and a drain off, simply because natural ponds don’t often hold all the water, they leak.
It's possible, I've seen people do huge ponds in their back yards. You'll probably need to rent one of those rolling machines to roll the clay and make it compact. Theirs lots of videos on youtube with the process to show u. Really cool actually. Some make the ponds for swimming and some make them to fish.