No, it does not. Let us know if you'd like suggestions for workarounds, e.g. creating a new awk script from the original awk script:
$ cat tst.sh
tmp="/usr/tmp/tmp.awk"
trap 'rm -f "$tmp"; exit' 0
> "$tmp"
chmod oug+x "$tmp"
awk '{ sub(/__LINE__/,NR); print }' <<! > "$tmp" && "$tmp"
awk 'BEGIN {
print "this is line", __LINE__
print "this is line", __LINE__
print "this is line", __LINE__
}'
!
$ ./tst.sh
this is line 2
this is line 3
this is line 4