Include constant in string without concatenating

No.

With Strings, there is no way for PHP to tell string data apart from constant identifiers. This goes for any of the string formats in PHP, including heredoc.

constant() is an alternative way to get hold of a constant, but a function call can't be put into a string without concatenation either.

Manual on constants in PHP

Yes it is (in some way ;) ):

define('FOO', 'bar');

$test_string = sprintf('This is a %s test string', FOO);

This is probably not what you were aiming for, but I think, technically this is not concatenation but a substitution and from this assumption, it includes a constant in a string without concatenating.