Depends on what you define as a lot of modification.
Short answer, no.
First of all, the only readily-available 6-speeds that would bolt up to an AAZ engine are the ones that came in 1.8t cars, the gearing would not be adequate for a diesel car, and the 6-speed VW trannys have a dual-final drive setup so you cannot (easily) change final drive ratios like you can with the 5-speed boxes.
You can get a TDI-specific 6-speed transmission, it was only available in Europe. Making an 02M transmission fit in a mk3 will require 2 custom mounts, either a hydro clutch swap or a cable-clutch 02A actuator fitted, and the rod-shift tossed and a cable-shifter swapped in. There will probably be issues with axles, you will more than likely need to mix and match 020 and 02m axle parts. Or you could use 02M axles, and swap the front suspension with VR6 stuff. Then you would have to figure out how to get a speedometer output to your cluster, and re-wire your reverse lights. Then you'd need all new clutch parts, and probably an 02M starter. The list goes on.....
It's all stuff that's been done before, so it's not really THAT hard, but the end result is not really worth it.
Brendan