When i had to have my biopsy done, i asked that very same question, to the person that was going to do the "procedure" to me. They just said it wasn't done, and didn't explain any further.
But, a buddy of mine had to have a biopsy done, and he insisted to being knocked out, and the medical personal complied with his request.
So i guess it can be done, if you really insist on it.
I can tell you this much, if they ever they tell me that i hafta go in for another biopsy, for whatever reasons, i am going to insist on being knocked out with the sleeping pills, or something.
After all, the dentist knocks me out, when i got root canals done, so why not for prostate biopsy's.