Yes you can do that if you have time. You have 60 days to roll it over to a IRA. You can replace the withholding with your own money or the tax withheld will be a distribution and taxable. And there is a 10% Early Withdrawal Penalty under 59 1/2. There is a penalty exception if you were over 55 when you left the job.
401K penalty exceptions
https://ttlc.intuit.com/turbotax-support/en-us/help-article/retirement-benefits/exceptions-penalty-e...
You will get a 1099R in January to report it on your tax return. If you roll it over to the IRA you should get all the withholding back on your tax return.
