I got into Northwestern's Mat Sci doctoral program and I am a physics major, so its possible. There were actually a number of physics majors at the visit weekend I went to. As for NU's masters program, I don't know much, but the website mentions a thesis and non-thesis masters degree options, but in the FAQS is also mentions the masters is not necessary for the Ph.D. :
Also, the website says there is no financial aid for masters students, which is something to consider.