Yes... .but small amounts of water poured on hole saw keeps it cool, which is good.
So long as you don't get water on the drill, you should be fine...
Basically, you'll just burn the plastic if you use a hole saw, with nothing to cool it. Hell, I've set MDF on fire using a 5" diameter hole saw with a Dewalt Industrial grade 120vAC drill.
But seriously... just something to cool it... hell, you could just hold an ice cube up to the hole saw as you drill, that should be sufficient.