CF creates web services using ColdFusion Components (CFCs),
which were introduced with version 6. You don't have any native XML
functions until 6 ether. So you couldn't write a web service in the
manner that you would in CF 6+.
However, this doesn't mean that you can't write a CFM file
that returns XML in whatever format you want. It'd just be a bit
more difficult. There used to be a CFX tag that gave CF 5 some
basic XML functions,