From a design point of view there is no reason why you should not do so provided you have the funds to build and maintain such a project. A lot of thought will need to be given to such matters as very high humidity inside the building and temperatures of -20 or so outside in the winter and +30 or more outside in the summer.
Much will depend on the size of the pool that you want as to the suitable type of construction and to the details you want included. It would be worth spending some time finding an architect with swimming pool design experience who, hopefully, will know a contractor with sufficient experience to be able to do the construction. Correct detailing and construction is vital if you are to have a satisfactory project and that may be very difficult to achieve in BG.
I do not know if a professional body exists in BG, like there is in the UK, that can advise you of architects with suitable experience, but it would be worth finding out. Just putting up a building over the pool could leave you with a multitude of irritating or even dangerous problems.
Whatever you do it will not be cheap and you may think it worth checking if you are going to raise the value of your property above the level that the area can sustain when you come to sell.