The DM is free to do whatever he likes, obviously. While the rules discuss the idea of creating new spells for Sorcerers and Wizards, those are ultimately left to the DM’s discretion, too (i.e. you cannot just walk up to a table and say, “oh yeah, my Sorcerer knows Munchkin’s Killing Burst,” “What’s that?” “A spell I made up; it’s 1st-level and kills everything I want it to kill, no save. The rules totally say I can research my own spells.”).
In the Warmage’s case, Wizards cautions against giving Warmages too many new spells, since they are full-list casters. In reality, though, the Warmage spell list is really quite poor: it only does blasting, and it doesn’t even have all the best blasting spells. As a DM, I would definitely be sympathetic to the idea that they deserve a few more spells.