Unfortunately no; the categories are stored separately in the database and would each require their own query.
I like to stick to built in wordpress functions as much as possible, but you could make a custom query to find the latest post from each category using the wp_term_relationships table.
It stores the post id (object_id) , and the category id (term_taxonomy_id) in the order they were created (larger post ids were created more recently).
Example:
global $wpdb;
$table_name = $wpdb->prefix . "term_relationships";
$sql = "SELECT object_id FROM ".$table_name." WHERE term_taxonomy_id =" . $category_id . "ORDER BY object_id DESC LIMIT 1";
$result = $wpdb->query($sql);
$post = get_post($result->object_id);
This could be done easily if you have a static list of category ids (find them in thewp_terms table);
If your categories are dynamic, I would consider using get_terms to populate the $category_id variable above in a foreach loop.