Both Plastazote and Evazote are used in vacuum forming applications. So yes, you can heat it up and form it but I am not sure how well it will work with just a heat gun or placing it in an oven and then trying to stretch it over something. However, a while back when I was looking into forming plastazote I came across a guy who had done it by heating the material in an oven, placing it overtop of the form, and then he had made a piece of wood with the outer profile of the form cut into it which he used to "draw" the foam over. I can't remember how well it turned out, but if it's all you got then you could give it a try.
The stuff does melt so you will have to find the sweet spot for forming.
I made my gas canister cozy using plastazote and a vacuum forming machine.
Let us know if/how it works out for you.