Everything is doable. In the case of the TW, just look at all the asian custom bikes. They run quite a few different exhaust systems. If you want to make it worth your while, make it out of nice enough materials like stainless steel with packing that won't burn up quickly like fiberglass does.. Stainless steel wool I guess? But then you need a way to roll stainless sheet (it's more tricky to work with than aluminum or steel) and then a way to weld it up. If you've ever looked at aftermarket (or even factory) sport bike mufflers, they're just cans with a tube in the middle and steel wool surrounding the tube. The caps are typically riveted into place or screwed into place so you can service the packing.
From most of what I've read about custom exhausts on a TW they're only going to help out minimally on the top end. It's not like putting a pipe on something like a KLR 650 and rejetting it where it'll suddenly pull the front wheel up off of the ground.
To me it's not worth it because these bikes run at such high RPM just going 55mph. Your right ear will hate you after a while. Here's a bike I built last year
Looks cool right? Well the straight through exhaust only really helped you up over 10000 RPM as compared to stock and it probably damaged hearing in my left ear after riding it on the highway.
I think you SHOULD try to make your own exhaust in the name of discovery and teaching yourself new skills. I just don't want you to get your hopes up that it'll be 1) cost effective 2) functional