You could build a MIDI-controlled relay/light, but you'd have to click a button to send the MIDI command before recording. If you have to click something to turn on the light, that's a lot more trouble to build & set-up than simply wiring-up up a regular 'ol light switch.
I think you need to use MMC? Midi machine code. This sends out a message for start,stop,ff,rr and song position.