Outside of the fact that to do this you'd have to somehow isolate the lights completely from all the rest of the vehicle least you create a momentary but spectacular display of sparks and molten metal and, given the correct conditions, an explosion of some magnitude when you "armed" your security system, yes, it could be done.
But, I believe there a number of legal cases which have held the "inventor" of such systems liable when their hatchling lands some would be thief in the hospital or a casket.
Now, don't be heapin' flames on me...this was not **MY** doing. I'm just saying you gotta think twice before doin' something like you're talkin' about. Anyhow, if it didn't kill them (and in most cases it wouldn't of course) the shock might just p*ss 'em off enough that they take it out on your :exp:
All kidding aside, a more conventional alarm system would be my choice.