No. Cons (::) is a constructor, constructors can not be infix operators. The allowed infix symbols are here:
http://caml.inria.fr/pub/docs/manual-caml-light/node4.9.html
Some workarounds are (as you mention) the verbose
(fun x l -> x :: l)
and defining your own nontraditional infix cons
let (+:) x l = x :: l