Generaly no, or at least if you work hard enough to make it happen it will make much more sense to just use mydomain.com/wp-admin/my-plugin (without the php extension).
The reason is that by default the htaccess rules wordpress uses, first try to locate a file in the implied path, and if it is not there it “fires” the front end processing, something you most likely do not want to happen in the context of admin session. Therefor urls under wp-admin should map to actual PHP files at the implied location.
How to get around this limitation? There are two parts with the easiest one is modifying the htaccess to map the url you want for your admin page into the “normal” wordpress admin url, or intercept the URL very early in the processing of the request and modify the relevant PHP globals appropriately. The harder one will be to modify the output of the relevant admin APIs to generate the right URL in the relevant contexts and there might be always some additional unexpected edge cases that you will need to handle.