Why yes it is!

The Santa Rosa Blue Hole is very famous in and around cave diving communities; a relatively deep sinkhole that is a geologic anomaly in the high desert of New Mexico."
--http://www.admfoundation.org/projects/santarosa/santarosaexpedition.html

It is limestone rock so at one point the top got too thin and just broke apart. Great question! I had to look for the answer. Learning something new everyday!