Is it possible to have multiple SQL instructions in a ADO.NET Command.CommandText property?

Summary

I'm currently writing an application where I have located my SQL instructions into a project's parameters.

Within the code, I get the value of my query which returns the query itself. Let's for instance say that my SQL query is like so:

select col1, col2, col3 from my_table

Besides, col1, col2 and col3 are from different tables and are migrated as foreign key into my_table. So, when it comes to the insert, I have to perform multiple INSERT statements to get the values from the other tables for these above-mentioned columns. Let's say as follows:

BEGIN TRANSACTION

insert into first_table (col_x, col_y) values ('col_x', 'col_y')
insert into second_table (col_z, col_a) values ('col_z', 'col_a')
insert into third_table (col_b, col_c) values ('col_b', 'col_c')

and finally:

insert into my_table (col1, col2, col3, col_v) values (@col1, @col2, @col3, 'col_v')

COMMIT

Take it that these col1, col2, col3 columns are auto-increment integers for tables first, second and third.

Questions

1. Could I write a complex SQL statement into the IDbCommand.CommandText property while each instruction would be separated by a semicolon (;)?

2. Is it possible to include a BEGIN TRANSACTION...COMMIT/ROLLBACK into this CommandText property?

3. In short, could I write something like this?

   Using cnx = New SqlConnection(connString)
       Using cmd = cnx.CreateCommand()
           cmd.CommandText = "BEGIN TRANSACTION " _
                     & "insert into first_table (col_x, col_y) values ('col_x', 'col_y');" _ 
                     & "insert into second_table (col_z, col_a) values ('col_z', 'col_a');" _
                     & "insert into third_table (col_b, col_c) values ('col_b', 'col_c');" _
                     & "insert into my_table (col1, col2, col3, col_v) values (@col1, @col2, @col3, 'col_v'); " _
                     & "COMMIT"
           cmd.ExecuterNonQuery()
       End Using
   End Using
   

EDIT #1

I should have mentioned it before... Mack's answer is the way I would like to go, except that I can't because of strange policies within the IT department of my client, except if I use their custom component which I rather avoid for simplicity sake. Notice that I upvoted Mack's answer anyway since it is a viable solution no matter what.

Thanks in advance for your precious help and time! This is crucial for me!