In a word, no.
While you can annotate anything in Preview.app it does not offer the option (that I have seen) to use translucent lines or shapes. You can change the color to anything your heart desires of both the line, shapes and shape fill but you can't make it transparent.
Not that this applies only to bitmaps like JPG & PNG where you are taking a picture of the screen or downloading a picture of text from somewhere. If you have a PDF that has actual text in it. EG a PDF that you can select and copy text in then, yes, you can highlight portions of the text:
- Select the text just like in any word processing program
- Go to Tools > Annotate > Highlight Text
- Save the PDF
The difference being "a picture of text: no" or "actual text in a PDF: yes."
If you want to "annotate" a screen capture of text you will need to find a program that lets you overlay a transparent colored shape over another picture. I would bet there are a number of shareware/freeware programs (GIMP springs to mind) that would let you do this.