Does he.net support glue record pointing to he dns

[evantkh]

As title. To reduce number of lookups.

[rchandra]

IMHO, such a thing is unnecessary and potentially harmful.  But I see no reason prohibiting you from creating your own A or AAAA records in your zone which match those of dns[1-5].he.net, and likewise entering that info at your domain registration provider.  But then the onus is on you to update your RRs if/when HE changes theirs.  It's your responsibility and breakage caused by you.