Hello,
Yes you can appear for PGI exam while studying in some other Institute for MD/MS.
Before filling the application form, candidates should check the eligibility criteria:

Must have passed MBBS from a University/ Institute recognized by the Medical Council of India (MCI)

INTERNSHIP: Must have either completed or due to complete, one-year rotatory internship training on or before 31st December for January session and 30th June for July session(as per Annexure-I)

Must be registered with Central /State Medical Registration Council.

Since the eligibility criteria has no mention for studying MD /MS while applying for PGI exam, you can appear for the exam.
All the best
Hope it helps