Looking at the docs I don't see a way to do it using rss.
Obviously with Conky you could write your own parser and use the execi. You could use curl or perhaps use this script instead, How to add an RSS feed to Conky/conky-rss.sh.
excerpt conky-rss.sh
# RSS Feed Display Script by Hellf[i]re v0.1
#
# This script is designed for most any RSS Feed. As some feeds may not be
# completely compliant, it may need a bit of tweaking
#
# This script depends on curl.
# Gentoo: emerge -av net-misc/curl
# Debian: apt-get install curl
# Homepage: http://curl.haxx.se/
#
# Usage:
# .conkyrc: ${execi [time] /path/to/script/conky-rss.sh}
#
# Usage Example
# ${execi 300 /home/youruser/scripts/conky-rss.sh}
#RSS Setup
URI=http://www.foxnews.com/xmlfeed/rss/0,4313,1,00.rss #URI of RSS Feed
LINES=6 #Number of headlines
#Environment Setup
EXEC="/usr/bin/curl -s" #Path to curl
#Work Start
$EXEC $URI | grep title |\
sed -e :a -e 's/<[^>]*>//g;/</N' |\
sed -e 's/[ \t]*//' |\
sed -e 's/\(.*\)/ \1/' |\
sed -e 's/\.//' |\
sed -e 's/\"//' |\
sed -e 's/\"//' |\
head -n $(($LINES + 2)) |\
tail -n $(($LINES))