It definitly could have it, provided someone wrote an ISAPI extension/filter combo for it.
I got to know, because I wrote a complete proxy on top of ISAPI, with callback handlers that could be written in C or Tcl.
On Windows NT and 2000, for our application server based on top of IIS (we had a version on top of Apache as well).
Yeah, it's a module in Apache too, it just comes OOB, so 'LAMP' had a cheap routing/rewrite solution. (ASP.net had APIs for that kind of stuff, so that was probably MS's original answer.)