No, if you put HTML inside a Calculated Column (and set the datatype to anything but single-line of text to output the HTML) the bare HTML code itself will be displayed in the filter choices.
Only in the View is the HTML code not escaped;
it will appear as bare HTML on Forms, in Alert emails and more places.
But that is serious scripting, I have done this for years and it will still take me half a day on a new SP 2010 project.
In SP2013 all this fiddling with HTML code in weird places is no longer required because CSR (Client Side Rendering) will take care of properly displaying your HTML code and the Values in the column filters.
I answered another question and you might be able to use this code as well.
var fieldname ='DueDate';
var label = document.querySelector("a[id$='" + fieldname + "']");
if (label) label.parentNode.innerHTML='ColumnName';
In a CEWP below the View