You can and I've recommended it but it's not that trivial either the path loss in coax signals as well as some other factors might not work with all SDR's and RF equipment and it takes a bit more legwork to set up.
Dumb question ... with coax, do you need an SDR board anymore? I assume not since you can do everything in CPU? Or is there some specialized acceleration you get with Silicon. Complete newb here.
The Coax is just a media for the radio wave to propagate through for all intents and purposes for this experiment it's no different than vacuum it's just a piece of cable you still need a transmitter and receiver to actually generate and receive the radio signal as well as a DAC of some sort to connect it to the PC :)
Basically if you do it via direct coax you basically connect a coax cable to the micro bnc port on your SDR (to which the regular antenna coax cable would connect) and the other end has to be connected to the BNC connector on the device that is talking to you radio, some phones have BNC connectors for testing (older phones used to have it to connect to the car phone fixture for better signal) but for some you'll have to solder a connector manually to the phone board or have some setup to connect to whatever custom connector the phone uses to connect to the antenna.
I know that the iPhone 6/s plus for example has a micro bnc connector for the Wifi antennas but I can't recall what they use for the GSM one but it's either going to be bnc or some custom connector if they are using some fractal antenna printed on flex cables or one that is embedded into the case which is quite common these days.
EDIT: Correction the connectors on the LimeSDR and on most phones are U.FL not BNC, I just have a habit of calling all Coax/RF connectors BNC so if this incorrect in some other post apologies :P
ARGGGG
EDIT #2: Apparently the iphone (as well as some other phones) use some "custom" connectors that mechanically look like U.FL but are smaller, so FML and good luck finding a cable to connect to it.