Via Splunk4JMX , you have access to several Garbage Collection, Memory Pool and Memory Manager metrics from the core java.lang MBean domain.
But if you want deeper profiling information ie: Object/Class histograms ,leak detection, fine grained memory usage, collection stats etc.. you'd have to dump an hprof file from the JVM and analyse this with something like Eclipse MAT.
You could however use Splunk4JMX to invoke an operation via JMX to dump this hprof file.
The com.sun.management:type=HotSpotDiagnostic Mbean exposes an operation called dumpHeap.
So you could create a config.xml file for Splunk4JMX that invokes this operation, setup the invocation frequency in Splunk(every hour, every day etc..),but then you'd need a custom data collector to monitor this hprof dump file, parse it from its binary format(the spec is online), index it and then use Splunk as a fully fledged JVM memory profiling tool.
PS: dumping an hprof file is an expensive operation and can potentially negatively affect your running application.