"Not possible" is an exaggeration. For a retained mode GUI library, you could, for instance, have the event loop of the library run on a separate thread, and provide functions to modify the widget tree and read events that have occurred since the last time events were read, allowing the user of the library to operate the library without being coupled to the event loop in any way. For an immediate mode GUI library, things are even simpler, because the library doesn't even have an event loop in the first place, placing the responsibility of implementing one on the user of the library.
No need to mess with threads in retained mode libraries, just have a call or two to run a single iteration of the event loop, e.g. Freeglut has glutMainLoopEvent() which only handles a single event. A toolkit of mine has ff_pump_events(), ff_has_events(), etc. Normally applications are expected to do a call like "return ff_run()" at the end of main() but they could do their own main loop if they want using these functions.
