A friend of mine sent me an image of how he brews coffee some times when he doesn't have a pour over to brew filtered coffee:

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If this is possible, is there a particular advantage in brewing when using a pour-over together with the filter than with the filter alone?

It is certainly possible to avoid using a cone, and I have also done this in a pinch. Though it works, there is no real benefit to using a bare filter (that is, using a paper filter without a filter-holding cone or other device) as far as the brew/outcome is concerned (other than the obvious, trivial facts of less equipment and not having to clean the cone). There are other reasons to not use a cone, and there are also a few downsides.

The main downside is that paper filters are quite flimsy, especially certain brands and types (e.g., Hario V-cones are very thin as compared to thick, almost fabric-like Chemex). They are meant to be used with a supporting cone or basket. With support, they hold together nicely. Without support, they can easily rip, be otherwise damaged, or collapse when filled with water. The consequences are natural: contamination of brewed coffee with grounds, spilled near-boiling water, or other mess.

One might argue that you have better control over the speed or length of infusion, but the coffee will not drain as well or as quickly. You can precisely control the length of water/grounds contact with reasonable pouring methods. The ridges on the cone filter (like this or that question) help to wick the coffee away from the filter so that it drains better. You can also find cones that have a drain plug (one example), so that you can steep the grounds for some time before draining, but I don't believe in that either. No matter what, I argue there's no benefit to a bare filter for this reason either.

That said, there are reasonable ways to use a bare filter. I sometimes use a bare filter for cold-brewing coffee without other equipment: I use a large basket-style filter (arbitrary example) with some grounds, then tied up with a piece of kitchen string into a small sachet like a tea bag, then submerged in a jar of water (see other questions, and my problems with same). However, I still have to be very careful to prevent the filter from tearing when removing it from the brewed coffee.

Your friend is clever and plucky for sure; however, I don't think your friend's method is going to catch on at your local coffee shop as the next fancy brew method.

Your friend's method is totally valid, since coffee-brewing is only a science of extraction, not methodology.

In order for your friend to properly extract the coffee, he would need to go through the same process of any other brewing method. In other words, the coffee grounds should be uniform in size, the water temperature should be up to temp (the exact temperature depends on preference and on the coffee itself), the grounds should be thoroughly saturated, and extraction time should be dialed in according to the coarseness/fineness of the coffee grounds.

The biggest thing here is probably keeping the water up to temp, since pouring hot water into a cold mug would drastically reduce the temperature of the water. Preheating the mug, as well as covering the mug during brew-time, would help the water keep its temperature. If he's using a paper cup, then this wouldn't apply, and he could just use the lid for insulation during brew-time.

With all of that said, another easier way to explain myself is just to say that your friend is basically doing a filtered french-press. However, instead of doing it in a vessel created for immersion brewing, he's just using a mug.

Concerning your question about there being an advantage using a pour-over cone, the answer heavily depends on preference, as well as whether the brewing process is in keeping with the standards I've already mentioned. Basically, though, no. There's not really an advantage. If he likes the taste of the coffee with his teabag-like method, then he's doing it right. Could he do it better? The answer is almost always yes.

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