DWG format is listed as one of the supported in CINEMA 4D, so dwg to c4d conversion in sense of using .dwg assets for CINEMA 4D projects is certainly possible. Such import of .dwg files probably requires knowledge of CINEMA 4D and is not "one click" conversion.
We have not found anything specific about it, so if you face particular issues or problems with such import or conversion, it would be best to contact and consult CINEMA 4D online community or support.