The most important question here is, why do you want to do an MBA after choosing to do a PhD in Physics? If you can answer that convincingly, then you should apply. Part of the self-evaluation process should have you thinking about who can write your recommendation letters to comment well on you in a business, corporate setting. If you don't have these, things may be more difficult. Nonetheless take heart. At Wharton there's an 18 year old who quit doing his PhD and is currently doing his MBA. He too had absolutely no 'outside-of-school' work experience, so you don't have to worry unduly about that!
As for the McKinsey guy that another poster referred to, in fact in the past it was the norm for students to go straight to business school without work experience. This is no longer the case.
Thanks indeed for your reply.I have tried startup as a student but find no good way to success. I want to widen my knowledge in economics and business as well social networks. Hopefully I can find future partener there.