I've heard the different pressures and absorbtion rates of the different oil/water based solutions in the same site can cause problems with absorbtion of the compound into the muscle, causing a higher chance for abcess. Mostly it's the oil slowing the water based down, since the water based injects are at a higher risk for bacterial growth. I suppose that you'd need some bacteria in the original shot for this to be a real concern, since you don't want to give bacteria any extra time to incubate within the muscle.
However, while I don't make a habit of doing these types of injections, I've never had a problem mixing oil and water based shots in the same syringe. I feel shaking it up very hard so it's near dissolved together (as much as oil and water can be) gives a more uniform absorbtion rate that will stop this potential problem.