This would not be possible because the hue app organizes lights into rooms and the scenes in a room will control all the lights within that room. You would have to create a separate room just for that lamp and then assign it to the dimmer.
There is a simple workaround.
Let’s say you have a scene called Afternoon. Edit rename to AfternoonX
Select AfternoonX to make it your active scene.
Within the App – click the light status icon (the .—) and switch off the lights you don’t want in your scene.
Tap the “New Scene” button. Then “Tap to enter name”
Enter “Afternoon” then “Save”. Important – then tap the tick mark top-right of screen.
You now have “Afternoon” without the lights you switched off, but all the other remaining lights with their settings unchanged.
You can delete AfternoonX