HDR images are usually composed using several "normal" images captured with varying exposures. There are cameras and softwares that do this automatically, but it can also be done manually by choosing different images and regions. For example, this can be done using GIMP.
The format used to store images is entirely up to the camera, the software or the user respectively. Some formats store all the input images and the composite image, while others simply create a single composite image and store that. So yes, you can have an HDR image stored in a commonly used format.
With respect to what you're trying to do, it will definitely be possible to use OpenCV to create an HDR image and store it off in the same format as your camera does.