It can be done, the question becomes "is it worth it?" Players that like a lot of exploration and hack-n-slash can play a mega-dungeon for a long, long time. Other players will tire of the endlessness of it, even if you have a plot woven into it.
The only time I did one the players regularly enjoyed (other than back in 1E, where they were the norm) was The Labyrinth campaign. The characters found themselves transported from their own world to an underground town surrounded by a seemingly endless dungeon. When they talk to the townsfolk, they find that everyone was brought here this way (there are no children born in the Labyrinth), and most decided to stay. Monsters never seem to enter the town, and there is a magical fountain that provides endless water and a tree who's fruit provides a full meal (equivalent to a ration in weight). According to legend, there is an escape somewhere in the Labyrinth, and if someone finds it, it will return everyone back to their home world. Supplies in town are limited, except for food and water, so the costs for everything else remains the same. There are 4 exists from the town, each dungeon section populated by a common low level monster type. Each of those areas leads to more areas, which eventually overlap. The campaign I did was in 3E and ran to level 10, but could have run higher (I ended it because I was tired of it).
The only time I did one the players regularly enjoyed (other than back in 1E, where they were the norm) was The Labyrinth campaign. The characters found themselves transported from their own world to an underground town surrounded by a seemingly endless dungeon. When they talk to the townsfolk, they find that everyone was brought here this way (there are no children born in the Labyrinth), and most decided to stay. Monsters never seem to enter the town, and there is a magical fountain that provides endless water and a tree who's fruit provides a full meal (equivalent to a ration in weight). According to legend, there is an escape somewhere in the Labyrinth, and if someone finds it, it will return everyone back to their home world. Supplies in town are limited, except for food and water, so the costs for everything else remains the same. There are 4 exists from the town, each dungeon section populated by a common low level monster type. Each of those areas leads to more areas, which eventually overlap. The campaign I did was in 3E and ran to level 10, but could have run higher (I ended it because I was tired of it).