Is it possible to make model in Blender, with enabled GLSL, add multiple textures, etc, and then just load it in XNA, where's own HLSL? Will it work?
In a word, No. But to get you started, you will need to use custom export scripts in Blender (I export to FBX format), and a custom content pipeline processor if you want to import the GLSL/materials/effects. This sounds like a lot of work; but at least now you know what you're googling for.