Yes you can change the nozzle for a different, read smaller, nozzle size. See e.g. this answer to learn that the threads are the same, they only differ in outer shape (i.e. the wrench size).
However, be aware that you need to adjust the speed to a lower value.
To explain why you should lower the speed is related to the maximum flow capacity for a viscous fluid like molten plastic. The fluid is incompressible and behaves roughlylike a non-Newtonian fluid, depending on temperature and material, the flow rate
$$ Q = \frac{\Delta P \pi r^4}{8\eta L}$$
Where $Q$ is the volumetric flow rate, $\Delta P$ the pressure drop over the nozzle, $r$ is the radius of the nozzle, $\eta$ is the dynamic viscosity and $L$ is the length or depth of the nozzle.
If we look at the equation and assume everything is kept constant except for the nozzle radius, we see that the volumetric flow rate is proportional to the 4th power of the radius.
This implies that if you make the orifice smaller, the volume flow is significantly decreased.
Assuming you are not printing at the maximum flow capacity, you should reduce the speed by half when mounting to a 0.2 mm nozzle from a 0.4 mm nozzle and try if it works, if not, further decrease the printing speed.
You could also find out your maximum flow first, this is well described on the internet, it would not be fit to discuss that here.
