In general, yes, you can bake stuff hidden inside a cake, but you are constrained in some ways. And before I go on: I don't believe that they actually baked a jumper in a cake for the film, they probably used some kind of inedible prop.
The most important constraint is the ratio of cake to item. If you embed something in a cake, you are messing up with leavening. It won't hurt if it is a small thing, or multiple small things, e.g. having nuts spread in the dough. But in this scene, the jumper was quite large. It was basically almost all jumper, with a tiny crust of "cake", and the cake itself was huge. It would be very difficult to bake a cake of this size all in one go even without the added difficulty of having a jumper in it, when you see huge wedding cakes, they are baked as separate layers, and the layers assembled afterwards.
I could imagine trying to get this to work. I would first choose a jumper that has as little weight and volume as possible, probably a girls' lightweight sweater. Or consider whether a doll sweater will be good enough for people to get the joke. If it has to be adult-size, maybe you can get away with a long-sleeve-T-shirt or a hiking base layer, especially if the fabric looks knitlike enough. Then find a suitable pan, large enough, and use a cutout baking mat on the bottom (you will never get it out with normal means if you do what I am planning). Parbake a very thin first layer for the bottom, Prinzregententorte-like. Then place the sweater on top, pour enough batter around it to get another layer, and bake the whole thing, using more top heat than bottom heat. Once this layer is set (doens't have to be through), add one more layer and rebake. When you get thick enough, I would suggest also starting to use a waterbath that only comes up to the height of the already-baked layers. You are finished when you have enough cake on top of the sweater.
The process will probably need several runs to be optimized. If the air in the sweater messes with leavening, consider soaking it in vegetable oil first. I'll also bet on you having to level the top, because it is unlikely you will get an even surface with this barbaric way of baking it and a whole sweater inside. It means that you probably don't want to serve it naked, since it will not resemble a plain cake out of the pan. You will likely need some kind of all-over frosting to cover the cut-off top and the unevenly baked layers on the sides.
Sweaters are also absorbent, so you will have to play with the liquid ratio in the cake. If using a dry sweater, you will have to make the batter more liquid, if you soak it in oil, you might need more flour in the cake (also, flour your sweater well before placing it in the cake, regardless of whether dry or oily).
You will have an easier time out of it if you use a packaged sweater, especially if you can package it in something with firm boundaries and nonreactive, such as a cookie tin or canning jar. You'll have some trouble finding a canning jar that has the proper shape, but maybe Weck has something appropriate, or you could consider using a modern glass-with-bamboo-lid storage container, they are available as squat cylinders. But I realize this may be too far from the original to get the joke across.
Finally, consider the sweater material. You can't have any amount of synthetic fiber in there, it will melt. This includes any kind of viscose too, even when sold with the label "natural" (may be labelled rayon, modal, lyocell, bamboo, etc.) I am torn between recommending wool and cotton - cotton is way too absorbent and heavy and will mess with the cake engineering more, but wool is not only expensive, wet wool exposed to heat usually felts. It is unusual in that you are not moving it here, but still it will probably feel pretty strange after baking. Other animal fibers are probably too expensive anyway, and unlikely to fare better than wool - although you may try alpaka because it felts less. Getting a lightweight sweater in non-fluffy alpaka might be difficult though. Silk will also be an interesting option, I'm pretty sure you will have to look a jumper made with cablé or tape yarn though, not spun silk. Since it is so hard to predict, you will probably have to bake swatches before deciding on an optimum material (a tray of mini-jumper-cupcakes as a rapid prototyping method!).
Bottom line, to get the promised movie effect - it can be done, although I can't guarantee how close to the original you can get in the end, you will certainly have more cake on the outside. You will also need to invest some serious engineering effort, and money.
If you decide to go the cutout route, it's not trivial for that size either. I recommend that you watch videos on constructing pi~nata cakes.