[iphone] Does hosts file exist on the iPhone? How to change it?

No, an iPhone application can only change stuff within its own little sandbox. (And even there there are things that you can't change on the fly.)

Your best bet is probably to use the servers IP address rather than hostname. Slightly harder, but not that hard if you just need to resolve a single address, would be to put a DNS server on your Mac and configure your iPhone to use that.