I actually saw this done about 25 years ago.  And it looked fantastic!

The woman did this in one corner of her kids' bedroom.  She said she considered having a gap between the large lower branches and the ceiling, but since she had two boys and the ceiling was fairly low, she recognized the probability that they would (sooner or later) attempt to hang from the branches, and the PM wouldn't support their weight, so she built the lower branches right against the ceiling, just like she did the trunk.

You could use those cardboard Sonatubes (there are other brands, too) used for forming concrete pillars, and they would be especially good for a trunk that was freestanding.  For a corner or flat wall, you could cut those with a saw into two or four pieces lengthwise, or use a flat 1/2" (13mm) plywood of a suitable width and staple an arc of chicken wire to the edges and around the back.  It would look more natural if you angle the cuts so it's wider at the bottom.

Attach the wood forms to the wall with long screws, preferably into a wood support in the wall.

She said for the bottom branches attached to the ceiling, she just rolled cardboard to the desired thickness and wrapped it with tape.  She made shorter lengths and stuck them together to make them look like real branches.

Then she covered everything with sheets of PM and painted it. 

Hers had leaves, but I don't know how she attached them.  Them seemed kind of loose, if I recall correctly.

Sue