The more closest method that do that is adapter.CreateSelectDQ that returns a IRetrievalQuery. That method is protected and the original code pre-process the elements and get the PersistenceInfo objects before calling that method.
You can download the RuntimeLibraries source code and see what you can do playing with that. I think it's possible, but I see that you will face some challenges injecting your own sql and executing that.
IMHO, the feasible options are:
A. Using LLBLGen Query cache.
B. Pre-load the lookup entities in a static variable or per-session.
C. Using an SP that retrieves multiples resulsets.
D. Use your own SQL + SQLClient that retrieves your data using MARS and then hydrate LLBLGen entities manually.
BTW, v4.1 doesn't exist yet, I think you meant v4.0