Why do you need 40 addresses for ?
Cheating for airdrop and receiving thousands of coins, while destroying the projects in the same time ?
My parents have only one mailbox to receive their mail, why would they need 40 mailbox ?
I don't understand the concept of having so many eth addresses...
But to answer your question : No, you can't create different addresses in the same address account, because each address has his own private key.
Using new address for every new transaction is a default behavior of all Bitcoin wallets worth talking about and as a result it's also a default behavior of all forks of Bitcoin wallets. And for good reasons. Some of them might not be relevant in account model cryptocurrencies such as Ethereum but others, especially those related to privacy, are. So OP question is certainly not absurd or irrational.
And of course you can create as many accounts as you want in Mist or Ethereum Wallet and I highly recommend you to do so.