According to wikipedia, the inertia tensor of an ellipsoid with semi-axes $a,b,c$ and mass $m$ is
$$\left[\begin{array}{ccc} \frac{m}{5}(b^2+c^2)&0&0\\ 0&\frac{m}{5}(a^2+c^2)&0\\ 0&0&\frac{m}{5}(a^2+b^2)\\ \end{array}\right].$$
If you create an arbitrary 3x3 positive diagonal matrix and try to solve for the $a,b,c$, it's very easy to wind up with imaginary dimensions. If I try to place separate point masses, I seem to run into the same problem.
Does that mean that the tensor doesn't represent a physically possible distribution of mass, or just not a uniform density solid? Intuitively, at least, it seems that it must be impossible for an inertia tensor to a have a single large value and two small values since a single point mass with a non-zero radius will always affect two dimensions equally and an ring of infinitesimal height still leaves the two minor dimensions with half the momentum of the large principal axis.