Since the fuel pump uses the fuel to cool itself... Yes you can burn up a fuel pump by running it dry & cavatating it.
Also from what I've read the returnless Cougar's are already notorious for fuel pump failures if you let them get below 1/4 tank. Seems the pick up screens are poorly placed and very small and can cause the pump to starve for fuel. The pumps then literally burn up & fail.
I am surprised more returnless Contique's have not suffered this fate (knock on wood!)