One Question

Is it possible to make destructible objects using Nvidia PhysX like in this game

No Unity doesnt support destructable objects. But if you have really small number of destructable objects in scene with low poly count you can always pick alternative way. You can do it by making model and then “cut” it in preffered pieces. You can then created either animated destruction in 3d software, or make proper destruction with collision on each piece from model.