It’s entirely possible 
You create a device in the MQTT integration, and you give it a function, it’s a so-called « virtual » device, and in the scenes you assign it a value before moving to another scene.
Many of us use these virtual devices to store information between scenes
You can create a wide range of devices like « Setpoint temperature », « Heating on/off », etc…
In my opinion, with virtual devices you can greatly reduce that number, while keeping a separation between actions.