The concept here is to mill the fin assembly from a single block of metal such as aluminum.

This would be a multi-stage milling operation – where each side is milled separately so work holding will be a big consideration.

The final step would be to remove the center core of the piece on a lathe.

 This is definitely possible but practically impossible for amateur rocketry unless one owns a CNC mill that would have the XYZ dimensions required to process a larger fin assembly as well as a lath (CNC or manual) to bore out the core.