I convert a lot of .rtf and .epub files to mobi using calibre, and I notice all of them show page numbers on pressing the menu key on the kindle. I suppose it's calibre that's adding them during the conversion process.
So, I would conclude that it would be possible to convert .azw files from amazon into .mobi format using Calibre, and read the .mobi on the kindle. That should give you page numbers.
EDIT: I didn't notice tilia's post above before replying.
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