I was gonna come in and say no right away, and point out that they already lost when alone with better teams, but then I saw that you had both of them on the Red Wings.
If the question is "could" they do it then my answer is yes, and here's why. First, there's the idea of removing the two worst centers on the team, and now replacing them with two of the best that ever lived. You instantly go from being weak at the most important position, to all of a sudden '87 Canada Cup level of play. Next, ice time. Gretzky was famous for his endurance and could be double shifted to hit 25-30 minutes a game. Remember, we have Gretzky at his very peak here, so these types of minutes will be fun for him. Then we have Lemieux who'd take up about 25 minutes himself, leaving about 5-10 minutes to expose your 3rd and 4th line centers.
Furthermore, Gretzky and Lemieux are not individualists like a Bure-type player. They are force multipliers, making those around them much, much better. You would see their wingers scoring 40-60 goals a season, and becoming all stars.
Then there's the power play. Gretzky in his office, with Lemieux pulling the trigger. Forget about it.
Finally, there's this. There is so much parity in today's league. This isn't like putting Gretzky and Lemieux on the California Golden Seals in the 70's, then having them try to conquer the Dynasty Habs. Last year, the St. Louis Blues were in last place at Christmas or early January, and they managed to win the Stanley Cup, really showing how close teams are from top to bottom. So, we didn't even have to add Gretzky and Lemieux to the Blues.
Conclusion. Very, very possible. A team still always needs a bit of luck to win a Cup, but I see this team with at least a decent chance to win it all.