Hi,
So, *if* you were able to translate the UNESCO Thesaurus into this same XML format, then it'd work in DSpace. However, I'm not aware of anyone who has done that, and it may be a complex task. If you (or anyone else) did translate this into the XML format that DSpace understands, then you are welcome to submit a Pull Request to update DSpace with this change as long as the controlled vocabulary allows for other software to include it & redistribute it.
In the case of UNESCO Thesaurus, it appears to have a CC-BY-SA license which would allow it to be added to DSpace, if someone were to create the proper XML file.
Tim