Yeah, a couple of my mates have kegs as mash tuns. They directly heat them with a gas burner, you just have to keep stirring while heating. One bonus is that you can heat your strike water in the mash tun (makes is easy if you don't have an immersion element) and then you don't have to worry about getting your water temp spot on in the HLT. I borrow an immersion element when I brew and heat my water to temp in my hlt (using elements mounted in that) and then transfer to my mash tun. Then I use the imersion element to heat the water up to exactly the temp I want (this makes your mash tun thermal mass equal to 0) making your calc's really easy.
JD