It might be possible. You’d need to check any tax treaties Luxembourg has with the UK.
For what I understand even if you can make a claim on a foreign countries witholding tax it’s only really worth it if you have a super large holding in that position.
I know you can do it with a Spanish stock and it doesn’t matter whether the stock was bought on the Spanish exchange or on the UK exchange as a CDI. The same would apply. Even if you can do it, it’s only really going to be worthwhile of you have a particularly large position in the stock in question.
(I have to do this)
I declare I am in no way a tax professional and I’d advise you to do your research or consultant a qualified tax professional if unsure.