Why do you need both? If you already have a PGWP which is an open work permit and gives you liberty to work for any employer, why would you want an LMO based closed work permit.
That being said, i don't think there is any problem with that. But i suspect two work permits cannot be valid at the same time i.e. PGWP will be cancelled once closed wp kicks in. But this is just a speculation - wait for others to respond. May be some one refers official citation.