Hi Giulia,
Yes and no. You can create a vector bundle with DefVBundle, and a connection which is aware of that bundle with DefCovD. See Sec. 6.10 of xTensorDoc.nb for an example. This will define two sets of connection coefficients and curvatures — those for the horizontal (tangent) indices, and those for the vertical (bundle) indices.
However, there is not yet the concept of a structure group or any other structures for a bundle. If you want a metric on that bundle, you will have to define one yourself, and if you want structure constants, you will similarly have to define those yourself.
Best
Leo