If you try to mix a color dispersed in water directly with a color dispersed in oil, no, they won't mix.
So if you want to blend a custom color by mixing two or more colors directly, the colors will blend properly only if they all are mixed in oil or all in water (or glycerin).
But if you're adding colors to soap batter, you're not mixing colors directly with each other; you're mixing them into the soap batter.
The short answer is this will work just fine -- you can put oil-dispersed colors and water-dispersed colors in soap batter without problems.