Yes, Of Course, It is possible to write a Left Linear grammar for a given Regular language directly If the language is Simple and You have idea of How the Grammar would look like. For instance, Let $\Sigma = \left \{ a,b \right \}$ and Language is $L = \Sigma^*$
then You can directly write a Left linear Grammar for it as follows :
$S\rightarrow Sa\mid Sb\mid \epsilon$
But the language is Not always this Simple and in that case Writing Left linear Grammar directly takes a lot of Practice and Intuition etc, That's Why we first build FA for the language and then convert it into Right Linear Grammar and then into Left linear Grammar.