Each site can have 4 custom close reasons, as Thomas explained, and on Unix & Linux, we have added a reason for cross posting. So the strange thing isn't that AU doesn't have the reason, but that U&L does.
For reasons that have never been clear to me, the U&L community is particularly sensitive to cross posts. So much so, that we implemented a dedicated reason for that! Personally, I think that isn't a useful close reason, and I say this as a mod of U&L. I have never understood why we have that reason over there and I kinda wish we didn't.
So, yes, it is theoretically possible to add it here too, but that would require removing one of the reasons we already have. And it really wouldn't be worth it, it my opinion. If you see crossposted questions, just flag for mod attention. That way, we can coordinate with the other site and make sure one of the two remains open (if they are worth keeping). I really don't see the benefit in a dedicated reason for this.