Sure, traffic between host A and B would still have to cross the firewall. BGP isn't a tunnel its just a distributed route database application basically.
I think a problem you should keep in mind is the firewall will need to know what networks exist behind the VPN router and topology will need to be updated to reflect this.
In addition assuming the BGP peers on on different ASes you'll need to tweak the BGP conf with ebgp multi-hop and possibly next hop self. You'll need the multi hop because ebgp defaults to a IP TTL of 1. With ebgp multihop 2 it becomes 2 and you'll be able to reach the router that is one hop away.