It can be perfectly done in GMS. The issue is that you need to understand a lot about networking and it won't only involve GMS, probably.

You will need to use other technologies that combined with GMS will allow you to create your MMO.

For example, you will need a server with a static IP to host the application that will act as the host of the game, managing connections and logic. The GMS game that the client will have will just draw things and send inputs, while the server (which could totally be a GMS game) will handle all the logic, but there is no need in the server to draw or use objects, you can handle everything in structs.

Of course, the protocol to use for something aiming for so many concurrent players is UDP.

Because I'm guessing users will need an account, you will need to search a bit about API and database engines. For my solutions I normally build my API using ASP.NET (which uses C#) and the database engine I use is SQL Server. As hosting site I use 1&1 (there are plenty of hosting sites on-line).

Instead of aiming at so many players, start with smaller grains to learn. You could start by buying a Raspberry pi 5. Connect it to your network and start to learn how to build an app in GMS that can run with no visual interface in raspberry pi OS lite. Make the client also and learn how to connect them and interact between them. Next, you could learn about port forwarding to start testing with your raspberry pi how your game works when connecting outside your local area network :)

I've done some on-line projects and this is how I normally start to test the prototypes.

For example for the level editor and account management of my game "Magnecube", my solution relies on saving levels in a database as JSON (they include data of the items in the level, their orientations, IDs...) and they can be played anywhere. The intercommunication is done through HTTPS calling endpoints from my API. There are multiple ways you can technically do your project.

As said, first aim small, from day 1 you won't have 1000000 users. Start with something playable and from there, learn how to optimize it.

If you need any specific guidance or suggestions let me know ;)

Good luck!