No, it\'s not - when it comes to bank account it\'s \"Open\" not \"Set Up.\"
I mean, you can say \"set up\" and everyone will figure out what you mean, but it certainly is not a normal way of saying it, at least not in the US.
On the other hand, \"set up an account\" (along with \"create an account\") is the most appropriate form to use when you refer to a user account on a computer network, for instance.