Is it possible to have a Theme with built-in physical page files?

WordPress would allow this (sort of). You would still need to create an About page in the back end, but you can tailor your display for such a page 2 different ways:

  1. Page Templates

  2. Page template hierarchy – What this means is there is a certain order of what WordPress is looking for when displaying any page/post. Check out the image here for a more direct understanding.

For pages specifically, the default is page.php, but page-$slug.php has higher priority. So in this case, you could make page-about.php, and alter what is displayed on that page. I would strongly suggest keeping the main content within that page, but this is how you add additional items to a page structure, such as sidebars, “Related Items” links, etc.