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Yes you can do a sump/refugium without a drilled tank. Don't use powerheads and tubing however, they make a hang on overflow system such as the one linked below (don't take that as a recommendation for that particular brand by the way, just an example), or you can make your own.
I don't have a drilled tank. I use a cpr overflow with an aqualifter to assist to prevent siphon loss. I've been told that siphon loss won't occur if the overflow and return pump are matched right, but don't put that much trust into things when away from home and like that extra precaution.
I know that originally there were lots of issues with flooding. Most people I've talked to with the newer set-ups don't seem to have the issues the older models had. Like Hank, I wouldn't really trust one myself, so personally I would drill the tank and construct my own overflow.