Ethical: No. (Good for your agent!)
Good strategy: Probably not.
Let's examine those issues briefly. Legal? Yes. You're making an offer. It isn't a ratified contract until all the conditions are met, and that includes the lender's approval.
Ethical: That can be debated either way. But, in the specific situation you're describing--a short sale--you're misrepresenting your intentions to the seller. As noted by others, short sales are incredibly stressful for the seller. You come in an make an offer. What's a seller to assume? Probably that you're seriously interested in buying the house. (You might say you are.) But not serious enough to focus on that one house. And perfectly willing to withdraw your offer at any point. That's misrepresentation. And--in my mind--that's unethical.
Good strategy: Probably not. I see and understand your point. But look at some of the downsides. First, you could get caught in a situation where you've got two ratified offers. Suppose two banks--for two of your different offers--both approve their respective short sales Monday morning. You don't have time to cancel one. OK, then as Alma suggests, there are other contingencies that you can invoke, such as an inspection contingency. But the situation is getting stickier. And Alma cautions against putting up any earnest money. That's good advice for what you're considering doing, but your offer will be very weak with no earnest money deposit, or just a token amount (such as $100). And your strategy may lead to you making offers on some not-so-good deals. It'd be pretty easy to say, "Well, it's not the best deal out there, but we do want a short sale." You could well end up making offers on properties you really don't like all that much, just to have some deals in the pipeline. I can tell you, from an investor standpoint that's a poor strategy.
Just my two cents worth.