Just saw this, so will answer now as a reference for future searches.
Yes, you can create new types of entities in AEP now. The concept is called "multi-entity segmentation", and as you describe this allows you to create lookup data that can be tied to both XDM Profile schemas and also XDM Experience Event schemas for things like product lookup, zip code lookup, etc.
These fields can then be included in the segmentation logic boolean expressions same as your profile and event attributes.
The relationship is very similar to a relational database primary-secondary index relationship, with the added restriction that each relationship can be made based on only one field of type string. But any schema can have multiple relationships to the same or different lookup entities.
Best practice it to create a new class for this against the base class of "record", create a new namespace of type "Non-people" (very important), and then label one string field in your lookup schema as the primary identity using your new "Non-people" namespace.
More info here:
https://www.adobe.io/apis/experienceplatform/home/xdm/xdmservices.html#!api-specification/markdown/n...
-Kevin