Considering a straight pipe with both ends ANC (or at least X,Y,Z=0). Then assign temperature to get axial compressive stress. Can CII do the modal analysis from this Prestressed state ?

No. By definition a modal analysis solves the equation:

[M]{a} + [K]{x} = 0

where:
[M] is the mass matrix
{a} is the acceleration vector
[K] is the stiffness matrix
{x} is the displacement vector

The zero on the right hand side implies "free undamped motion". There is no allowance in CAESAR II to change this zero value - which is how you apply the temperature to achieve your prestress.

Just wonder how close to reality when modal analysis function is used ?

For example, a steam line will reach to high operating temperature at first (prestress) then it may vibrate.