I think that wouldn't work, if you mean AppStore-Apps.
Thats because the iPhone-Filesystem consists of two Partitions, the root-partition (/) and the var-partition (/var) (for more information about the unix partitioning scheme, ask google ).
All Appstore apps go to /var/mobile/Applications, whereas the Cydia apps go to /Applications, and and are therefore saved within the root-partition. The iPhone-Firmware-File (.ipsw) contains mainly the root-partition.
If you create a custom-firmware with pwnageTool or sn0wbreeze, you can select packages and sources you want to install to the image, thats because these are then directly stored on the root-partition.
Propably you CAN also save normal Apps to the firmware, but i don't know any information about that