Yes, it is possible to save a message in EML format (called Raw Message Source by Mal.app) with attachments.
In fact, that's the default behavior when saving a message as an EML file by selecting File>Raw Message Source, or when dragging and dropping a message from Mail.app to the Finder. (Tested on macOS High Sierra.)
As you say, the option to save attachments is grayed out, but the attachment is included anyway (that seems to be a GUI glitch). After you save the message, you can double click it and attachments will be available. The only requirement is that the attachment has been downloaded.
Note that if you preview the EML file with Quick Look, the attachment may be shown with a question mark picture:
but the attachment is still there.
If you are interesed in the internals of the EML file, the attachment is included in base64 format, a binary-to-text encoding that looks like this (if you open the EML file with a text editor):