This can be done. Please consider this solution:

$connection = ssh2_connect('localhost', 22);
ssh2_auth_agent($connection, 'user');
$sftp = ssh2_sftp($connection);

$folder = opendir("ssh2.sftp://$sftp/path/to/dir");

while (($file_name = readdir($folder)) !== false) {
  echo $file_name . "\n";
}

Solution wont work as ssh2_auth_agent() is not available in last release. use any 
other ssh2_auth_() function instead.

Actually, using the URL wrappers isn't a great solution for this, as many shared hosting providers have that feature disabled because it presents a bit of a security problem.