I can find no documentation anywhere which indicates you cannot do this, but all documentation I have found assumes they are two different machines (for example, http://technet.microsoft.com/en-us/library/dd983941(WS.10).aspx ). I cannot schedule lab time today, so I cannot try it to see if it is allowable.
As you indicated, it is no where close to ideal to have them on the same box. At the end of the day, see if R2 will let you install both Roles. It either will or it won't. :)
