Yes. Create a new playlist in the Sonos app under My Sonos > Playlists > Edit and add songs from any service to the new playlist by selecting the “•••” next to the song title and then select “Add to Sonos Playlist”.

Thank you for the answer. What about a mix of Streaming Music and local music files (mp3, FLAC and etc.)?

Yes, it works the same way. I have a Sonos playlist that includes music from Amazon Music, Spotify, and music from my personal music library stored on my iMac.

A Sonos playlist is just a list of urls, and they can be any music item that you can add to the Sonos queue. That means most things except TV input and things like radio stations.