As far as I know there is no way to directly create a live bookmark from within Firefox. However, the following (not necessarily convenient) procedure should work for you.
Save the following HTML file to a local file on your disk:
<!-- This is an automatically generated file.
It will be read and overwritten.
DO NOT EDIT! -->
<META HTTP-EQUIV="Content-Type" CONTENT="text/html; charset=UTF-8">
<DT><A FEEDURL="http://feeds.com/users:1234/feed.rss" HREF="http://feed.value.cannot.be.overridden.by.user.com">Generic RSS Feed</A>
(Don't worry that this doesn't look like a typical HTML file.)
Then edit the FEEDURL value. Don't bother trying to set the HREF value, it will be updated from the value provided by the RSS feed (unfortunately, this is what I had wanted to do).
Now you can use the "Import and Backup"->"Import Bookmarks from HTML" function of the Bookmarks dialog ("Show All Bookmarks") to add it to your bookmarks.
If you are uncertain, you can use the ProfileManager to make a new experimental profile to check if this works as you wish (I used it extensively while researching this question).