Yes you just need to add to your squid.conf something like this
acl direct-connect dst_domain *.mydomain.com
cache deny direct-connect
Everything under *.mydomain.com will not be cached, this might be what you need.
If you need direct connection because some kind of socket has to establish a connection the is a whole different animal, if the squid is transparent you can exclude the IPs with iptables, so IPs identified on the rules will not get routed to the Squid.
If it is configured on the browser, you can usually find a list of exceptions on which sites to skip.
Hope it helps.