Is it possible to build your own above ground pool without a kit by buying the wall from a metal supplier and only buying the liner from a pool shop?

Yes. In fact this is the cheapest option. Buy the steel mesh from the steel merchant. Buy the PVC liner from a converter, the split hose from the hardware store (split it yourself). Check the specifications of the kit form, to ensure you have the same spec when you buy direct from the manufacturers. e.g. 550 micron for the PVC. Thickness guage for the wire mesh. I did just that and saved 25% of the cost.