You can create it, but it doesn't use the hyperlink feature. Instead, create a button from a text frame with the phone number in it. (It works best to have the phone number in its own text frame because the whole frame becomes the button). Click the "+" to add an action to the button and choose Go To URL. Delete the http: that is pre-filled and enter "tel:" then the country code and full number. So for a North American number, it would look like this tel://12125551212. Now the button becomes the telephone link.
EDIT: You can also do this as a normal hyperlink (I think it didn't used to work and I assumed it still didn't...just tried and it works fine). Same formatting for the hyperlink.