I think the issue would be the size the pills would have to be to contain an appreciable amount of fat. The most concentrated form of fat, I believe, is oil... and you need a tablespoon of it to get 120 calories.
MCT fat (the most easily absorbed by those with cf and often used to help gain weight in our supps) comes in powdered form and pills though... however, from what I can find, it's marketed as a weight loss product. I am not sure how much oil can actually be dehydrated or compressed into a pill (again, due to the volume of oil required to equal a given number of calories) but you may want to look into it at a health food store or online.